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:
Online Access:https://ir.uitm.edu.my/id/eprint/49276/1/49276.pdf
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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
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