Dynamics and co-movements between the COVID-19 outbreak and Polish stock market: A dynamic conditional correlation modeling and wavelet coherence analysis

Dzik-Walczak, Aneta; Gaweł, Anna

doi:10.2478/ijme-2025-0023

Abstract

This study makes a comparative assessment of the relation between four waves of the COVID-19 pandemic and the stock market in Poland. We utilize the Autoregressive Moving Average-Asymmetric Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity models to depict the dynamic conditional correlations between Polish stock market and the US stock market. We use the wavelet approach to investigate the time-frequency connectedness between the COVID-19 pandemic and the stock markets. The sample used covers the period from 02.01.2019 to 04.04.2022. Our findings reveal a significant relation between pandemic variables and stock market. This evidence is more pronounced in the first and second wave of infections. In contrast, the impact was considerably smaller during the third and fourth waves.

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Dynamics and co-movements between the COVID-19 outbreak and Polish stock market: A dynamic conditional correlation modeling and wavelet coherence analysis

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