Coherence wavelet method and wavelet-granger causality tests to measure COVID-19 pandemic-induced uncertainties / Siti Norsafura Md Sobri

Due to COVID-19 outbreak, the economic policy became uncertain. The fall of oil price has caused the stock market to respond. It has been a question on whether economic uncertainty and oil prices were affected by COVID-19, or is it the fall of oil price that contributed to the economic instability a...

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Main Author:	Md Sobri, Siti Norsafura
Format:	Thesis
Language:	English
Published:	2021
Subjects:	Stock price indexes Stock quotations
Online Access:	https://ir.uitm.edu.my/id/eprint/49276/1/49276.pdf
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id	my-uitm-ir.49276
record_format	uketd_dc
spelling	my-uitm-ir.492762021-10-28T01:00:48Z Coherence wavelet method and wavelet-granger causality tests to measure COVID-19 pandemic-induced uncertainties / Siti Norsafura Md Sobri 2021-08-02 Md Sobri, Siti Norsafura Stock price indexes. Stock quotations Regression analysis. Correlation analysis. Spatial analysis (Statistics) Due to COVID-19 outbreak, the economic policy became uncertain. The fall of oil price has caused the stock market to respond. It has been a question on whether economic uncertainty and oil prices were affected by COVID-19, or is it the fall of oil price that contributed to the economic instability and stock market volatility. In this study, the researcher analysed the connectivity between the recent spread of COVID-19 in Malaysia, Malaysia stock market, oil prices in Malaysia and Global Economic Policy Uncertainty (GEPU) in time-frequency domain. The coherence wavelet method was used to analyse the movement of each variable and to evaluate the interactions between the selected variables for 25th January until 25th May 2020. The researcher also applied the Wavelet-based Granger Causality to test the robustness of the coherence wavelet. This study disclosed the impact of COVID-19 reported cases towards the oil price slumps. Stock market volatility was affected by the GEPU index while oil prices were influenced by stock market and GEPU index. To obtain more precise results, it is recommended that future researchers use Economic Policy Uncertainty of Malaysia instead of GEPU and add more sample data. 2021-08 Thesis https://ir.uitm.edu.my/id/eprint/49276/ https://ir.uitm.edu.my/id/eprint/49276/1/49276.pdf text en public degree Universiti Teknologi Mara Perlis Faculty of Computer & Mathematical Sciences
institution	Universiti Teknologi MARA
collection	UiTM Institutional Repository
language	English
topic	Stock price indexes Stock quotations Stock price indexes Stock quotations
spellingShingle	Stock price indexes Stock quotations Stock price indexes Stock quotations Md Sobri, Siti Norsafura Coherence wavelet method and wavelet-granger causality tests to measure COVID-19 pandemic-induced uncertainties / Siti Norsafura Md Sobri
description	Due to COVID-19 outbreak, the economic policy became uncertain. The fall of oil price has caused the stock market to respond. It has been a question on whether economic uncertainty and oil prices were affected by COVID-19, or is it the fall of oil price that contributed to the economic instability and stock market volatility. In this study, the researcher analysed the connectivity between the recent spread of COVID-19 in Malaysia, Malaysia stock market, oil prices in Malaysia and Global Economic Policy Uncertainty (GEPU) in time-frequency domain. The coherence wavelet method was used to analyse the movement of each variable and to evaluate the interactions between the selected variables for 25th January until 25th May 2020. The researcher also applied the Wavelet-based Granger Causality to test the robustness of the coherence wavelet. This study disclosed the impact of COVID-19 reported cases towards the oil price slumps. Stock market volatility was affected by the GEPU index while oil prices were influenced by stock market and GEPU index. To obtain more precise results, it is recommended that future researchers use Economic Policy Uncertainty of Malaysia instead of GEPU and add more sample data.
format	Thesis
qualification_level	Bachelor degree
author	Md Sobri, Siti Norsafura
author_facet	Md Sobri, Siti Norsafura
author_sort	Md Sobri, Siti Norsafura
title	Coherence wavelet method and wavelet-granger causality tests to measure COVID-19 pandemic-induced uncertainties / Siti Norsafura Md Sobri
title_short	Coherence wavelet method and wavelet-granger causality tests to measure COVID-19 pandemic-induced uncertainties / Siti Norsafura Md Sobri
title_full	Coherence wavelet method and wavelet-granger causality tests to measure COVID-19 pandemic-induced uncertainties / Siti Norsafura Md Sobri
title_fullStr	Coherence wavelet method and wavelet-granger causality tests to measure COVID-19 pandemic-induced uncertainties / Siti Norsafura Md Sobri
title_full_unstemmed	Coherence wavelet method and wavelet-granger causality tests to measure COVID-19 pandemic-induced uncertainties / Siti Norsafura Md Sobri
title_sort	coherence wavelet method and wavelet-granger causality tests to measure covid-19 pandemic-induced uncertainties / siti norsafura md sobri
granting_institution	Universiti Teknologi Mara Perlis
granting_department	Faculty of Computer & Mathematical Sciences
publishDate	2021
url	https://ir.uitm.edu.my/id/eprint/49276/1/49276.pdf
_version_	1783734796286951424

Coherence wavelet method and wavelet-granger causality tests to measure COVID-19 pandemic-induced uncertainties / Siti Norsafura Md Sobri

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