<abstract xmlns="http://www.w3.org/1999/xhtml">
<p>The main purpose of this study is to investigate the causal response of the stock market returns to COVID-19 related economic support in 19 emerging countries by using the Maximal Overlap Discrete Wavelet Transform (MODWT) and Fourier Toda-Yamamoto Causality Test (FTYCT). With the help of MODWT, we identify the instant, short-term, mid-term and long-term reactions of stock market returns and COVID-19 related economic support to each other. Implementing FTYCT, we determine the existence of the causal relationships running from COVID-19 related economic support to stock returns. We obtain two major results. First, the COVID-19 related economic support have significant effects on stock market returns in the short-, medium-, and long-term, except in China. Second, the results of the causality tests vary across countries based on the different time scales. Some emerging markets show an immediate reaction to the Economic Support, while most stock market reactions occur over the medium- and long-term. Since economic support will created unintended effects on stock market returns, the way that these support policies are implemented should be reconsidered. Also, their effectiveness should be evaluated carefully. </p>
</abstract>

The main purpose of this study is to investigate the causal response of the stock market returns to COVID-19 related economic support in 19 emerging countries by using the Maximal Overlap Discrete Wavelet Transform (MODWT) and Fourier Toda-Yamamoto Causality Test (FTYCT). With the help of MODWT, we identify the instant, short-term, mid-term and long-term reactions of stock market returns and COVID-19 related economic support to each other. Implementing FTYCT, we determine the existence of the causal relationships running from COVID-19 related economic support to stock returns. We obtain two major results. First, the COVID-19 related economic support have significant effects on stock market returns in the short-, medium-, and long-term, except in China. Second, the results of the causality tests vary across countries based on the different time scales. Some emerging markets show an immediate reaction to the Economic Support, while most stock market reactions occur over the medium- and long-term. Since economic support will created unintended effects on stock market returns, the way that these support policies are implemented should be reconsidered. Also, their effectiveness should be evaluated carefully.

Time Scales Based Analysis of the Effects of COVID-19 Related Economic Support on the Stock Markets in Emerging Markets

Faculty of Applied Sciences, Department of Finance and Banking

Faculty of Economics and Administrative Sciences, Department of Economics

Institute of Social Sciences, Finance Department

Journal of Central Banking Theory and Practice

This work is licensed under the Creative Commons Attribution 4.0 International License.

The main purpose of this study is to investigate the causal response of the stock market returns to COVID-19 related economic support in 19 emerging countries...

Time Scales Based Analysis of the Effects of COVID-19 Related Economic Support on the Stock Markets in Emerging Markets

Published Online: Sep 05, 2023

Page range: 41 - 60

Received: May 13, 2023

Accepted: Jun 15, 2023

DOI: https://doi.org/10.2478/jcbtp-2023-0024

Keywords
COVID-19 related economic support, stock market returns, emerging markets, time scales wavelet transform, Fourier Toda-Yamamoto causality test

© 2023 Melik Kamişli et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Time Scales Based Analysis of the Effects of COVID-19 Related Economic Support on the Stock Markets in Emerging Markets

Published Online: Sep 05, 2023

Page range: 41 - 60

Received: May 13, 2023

Accepted: Jun 15, 2023

DOI: https://doi.org/10.2478/jcbtp-2023-0024

KeywordsCOVID-19 related economic support, stock market returns, emerging markets, time scales wavelet transform, Fourier Toda-Yamamoto causality test

© 2023 Melik Kamişli et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Keywords
COVID-19 related economic support, stock market returns, emerging markets, time scales wavelet transform, Fourier Toda-Yamamoto causality test