US banks in the time of COVID-19: fresh insights from the wavelet approach

Saeed Sazzad Jeris; Ridoy Deb Nath

doi:10.1007/s40822-021-00171-8

US banks in the time of COVID-19: fresh insights from the wavelet approach

Saeed Sazzad Jeris^*, Ridoy Deb Nath

^*Corresponding author for this work

Accounting And Finance

Research output: Contribution to journal › Article › peer-review

12 Citations (Scopus)

Abstract

This study explores the impact of COVID-19, crude oil price, US economic policy uncertainty, baltic dry index, and the stock market volatility on the US bank indices. This study is conducted based on the daily data ranging from 21st January 2020 to 30th October 2020. The wavelet coherence analysis suggests that rising COVID-19 cases in the US have a strong impact on both bank indices. Also, global COVID-19 cases influence the bank indices, although it is not as strong as US COVID-19 cases. Additionally, we have found that the US economic policy uncertainty and stock market volatility imposed negative and strong effect on the bank indices in this pandemic situation. Moreover, continuous fluctuation of crude oil price makes the US banks volatile throughout the period.

Original language	English
Pages (from-to)	349-361
Number of pages	13
Journal	Eurasian Economic Review
Volume	11
Early online date	28 Apr 2021
DOIs	https://doi.org/10.1007/s40822-021-00171-8
Publication status	Published - 30 Jun 2021

Keywords

Baltic dry index
COVID-19
economic policy uncertainty
oil price
US bank indices
VIX

Access to Document

10.1007/s40822-021-00171-8

Cite this

@article{9493310eab874a65aaf1aa89487bdd9a,

title = "US banks in the time of COVID-19: fresh insights from the wavelet approach",

abstract = "This study explores the impact of COVID-19, crude oil price, US economic policy uncertainty, baltic dry index, and the stock market volatility on the US bank indices. This study is conducted based on the daily data ranging from 21st January 2020 to 30th October 2020. The wavelet coherence analysis suggests that rising COVID-19 cases in the US have a strong impact on both bank indices. Also, global COVID-19 cases influence the bank indices, although it is not as strong as US COVID-19 cases. Additionally, we have found that the US economic policy uncertainty and stock market volatility imposed negative and strong effect on the bank indices in this pandemic situation. Moreover, continuous fluctuation of crude oil price makes the US banks volatile throughout the period.",

keywords = "Baltic dry index, COVID-19, economic policy uncertainty, oil price, US bank indices, VIX",

author = "Jeris, {Saeed Sazzad} and Nath, {Ridoy Deb}",

year = "2021",

month = jun,

day = "30",

doi = "10.1007/s40822-021-00171-8",

language = "English",

volume = "11",

pages = "349--361",

}

TY - JOUR

T1 - US banks in the time of COVID-19

T2 - fresh insights from the wavelet approach

AU - Jeris, Saeed Sazzad

AU - Nath, Ridoy Deb

PY - 2021/6/30

Y1 - 2021/6/30

N2 - This study explores the impact of COVID-19, crude oil price, US economic policy uncertainty, baltic dry index, and the stock market volatility on the US bank indices. This study is conducted based on the daily data ranging from 21st January 2020 to 30th October 2020. The wavelet coherence analysis suggests that rising COVID-19 cases in the US have a strong impact on both bank indices. Also, global COVID-19 cases influence the bank indices, although it is not as strong as US COVID-19 cases. Additionally, we have found that the US economic policy uncertainty and stock market volatility imposed negative and strong effect on the bank indices in this pandemic situation. Moreover, continuous fluctuation of crude oil price makes the US banks volatile throughout the period.

AB - This study explores the impact of COVID-19, crude oil price, US economic policy uncertainty, baltic dry index, and the stock market volatility on the US bank indices. This study is conducted based on the daily data ranging from 21st January 2020 to 30th October 2020. The wavelet coherence analysis suggests that rising COVID-19 cases in the US have a strong impact on both bank indices. Also, global COVID-19 cases influence the bank indices, although it is not as strong as US COVID-19 cases. Additionally, we have found that the US economic policy uncertainty and stock market volatility imposed negative and strong effect on the bank indices in this pandemic situation. Moreover, continuous fluctuation of crude oil price makes the US banks volatile throughout the period.

KW - Baltic dry index

KW - COVID-19

KW - economic policy uncertainty

KW - oil price

KW - US bank indices

KW - VIX

U2 - 10.1007/s40822-021-00171-8

DO - 10.1007/s40822-021-00171-8

M3 - Article

AN - SCOPUS:85105422631

SN - 1309-422X

VL - 11

SP - 349

EP - 361

JO - Eurasian Economic Review

JF - Eurasian Economic Review

ER -

US banks in the time of COVID-19: fresh insights from the wavelet approach

Abstract

Keywords

Access to Document

Fingerprint

Cite this