2019-20 coronavirus outbreak

Financial system

Stock (firearms)

Biology

Statistics

Coherence (philosophical gambling strategy)

Virology

Archaeology

Economics

Computer science

Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2)

Outbreak

Time horizon

Business

Coronavirus disease 2019 (COVID-19)

Computer network

Time lag

Mathematics

Geography

Political science

Monetary economics

Econometrics

Infectious disease (medical specialty)

Internal medicine

Financial economics

Medicine

Finance

Equity (law)

Pandemic

Disease

The North American Journal of Economics and Finance

We examine the co-movement of the G7 stock returns with the numbers of confirmed COVID-19 cases and causalities based on daily data from December 31, 2019 to November 13, 2020. We employ the wavelet coherence approach to measure the impact of the numbers of confirmed cases and deaths on the G7 stock markets. Our findings reveal that both the number of confirmed COVID-19 cases and the number of deaths exhibit strong coherence with the G7 equity markets, although we find heterogeneous results for the Canadian and Japanese equity markets, in which the numbers of COVID-19 cases and the deaths exhibit only a weak relationship. This evidence is more pronounced in the long-term horizon rather than the short-term horizon. Moreover, the lead-lag relationship entails a mix of lead-lag relations across different countries. We present the implications of these findings for both policymakers and the international investment community.

The impact of COVID-19 on the G7 stock markets: A time-frequency analysis