Co-movement between Covid-19 and G20 stock market returns: A time and frequency analysis.

In our study, we employ DCC-GARCH and Wavelet coherence analysis to examine the co-movement between global covid-19 indicators (cases, recoveries and deaths) and stock returns of main equity markets in G20 countries using daily data spanning between February 2, 2020 and August 28, 2021. Our empirical results show that the co-movement between COVID-19 and G20 stock returns has been switching between negative and positive correlations across the entire time window. The wavelet coherence analysis further reveal that negative (positive) co-movements predominantly exist as lower (higher frequencies) for cases and deaths and are more mixed for recoveries.