On the Relationship between COVID-19 and Brazilian Financial Market

17 Pages Posted: 18 Mar 2021

See all articles by Antonio Costa

Antonio Costa

Federal University of Ceara

Cristiano da Silva

Universidade do Estado do Rio Grande do Norte (UERN)

Paulo Rogério Matos

Federal University of Ceara

Date Written: March 15, 2021

Abstract

In our first empirical exercise we assess the conditional relationship in the timefrequency domain between the return on Ibovespa and the cases or deaths by COVID-19 in Hubei, countries with record deaths and the world, for the period from January 29 to July 31, 2020. We also perform a parametric test for Granger-causality in quantiles. Second, we study Brazilian sectoral contagions and pass-through. Our findings are useful to infer on when COVID-19 cycles started to impact Ibovespa cycles and to tell the history of the pass-through of this pandemic across the economic sectors in Brazil.

Keywords: Coronavirus, Lead-lag conditional relationships, Time-frequency domains, Quantile Granger causality, Sectoral pass-through in Brazil

JEL Classification: G12, C63, H12, O16

Suggested Citation

Costa, Antonio and da Silva, Cristiano and Matos, Paulo Rogério, On the Relationship between COVID-19 and Brazilian Financial Market (March 15, 2021). Available at SSRN: https://ssrn.com/abstract=3805117 or http://dx.doi.org/10.2139/ssrn.3805117

Antonio Costa (Contact Author)

Federal University of Ceara ( email )

Rua Papi Júnior 1225 - Rodolfo Teófilo
Fortaleza, Ceara 60431970
Portugal

Cristiano Da Silva

Universidade do Estado do Rio Grande do Norte (UERN) ( email )

Assu - State of Rio Grande do Norte
Mossoró, 59610-210
Brazil

Paulo Rogério Matos

Federal University of Ceara ( email )

Rua Papi Júnior 1225 - Rodolfo Teófilo
Fortaleza, Ceara 60431970
Portugal

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