COVID-19 and Insurance market returns in emerging and developed markets: A comparative study based on Wavelet methods

Abstract

This study investigates the co-movement nexus between COVID-19 and insurance industry returns for emerging and developed markets using a wavelet-based framework. Analysis on the daily observations from 22nd January 2020 to 14th September 2020 reveals that insurance returns (INS) responded strongly and negatively, right after the onset of the global COVID-19 outbreak, but asymmetrically later. Additionally, the devastation brought to INS is comparatively more severe but short-lived for emerging markets. The wavelet-based Granger causality and correlation confirm the robustness of our results. These findings are important for policymakers and investors in the insurance industry in the aftermath of COVID-19.

Exploring the co‐movements between COVID‐19 pandemic and international air traffic: A global perspective based on wavelet analysis

“…The Wavelet methodology is developed in engineering sciences. It has applied to other fields of science like finance and economic and environmental studies (Fareed et al, 2020 ; Fareed & Iqbal, 2020 ; Habib et al, 2021 ; Iqbal et al, 2020 ; Madaleno & Pinho, 2012 ; Matar et al, 2021 ; Saiti, 2012 ; Vacha & Barunik, 2012 ) to investigate the comovement and contagion in time series. This method is an alternative to time series and frequency domain methods (Saiti et al, 2016 ).…”