Emerging market debt and the COVID-19 pandemic: A time–frequency analysis of spreads and total returns dynamics
ORCID Identifiers
Document Type
Article
Source of Publication
International Journal of Finance and Economics
Publication Date
1-1-2020
Abstract
© 2020 John Wiley & Sons, Ltd. We apply wavelet analyses to study the impact of COVID-19 pandemic on the performance of emerging market bonds, in both investment grade and high yield ranges of creditworthiness. Our results show varying level of coherence ranging from low, medium and high between the Coronavirus Media Coverage index and the price moves of the emerging market USD-denominated debt. We attribute the intervals of low coherence levels to the diversification potential during a systemic pandemic such as COVID-19 of investments in bonds issued by developing economies. We document differences in patterns exhibited by various indices describing behaviour of option-adjusted spreads and total returns as a function of credit quality of issuers form emerging market economies. We report well-defined zones of the regime switching between the lead and lag roles of the emerging market bonds vis-à-vis the media coverage.
DOI Link
ISSN
Publisher
Wiley
Disciplines
Business
Keywords
Bloomberg–Barclays EM indices, bond spread, causality, comovements, COVID-19 pandemic, emerging markets (EM), fixed income, leads and lags, media coverage index, regime-switching, total return, wavelet coherence, wavelet phase difference
Scopus ID
Recommended Citation
Gubareva, Mariya and Umar, Zaghum, "Emerging market debt and the COVID-19 pandemic: A time–frequency analysis of spreads and total returns dynamics" (2020). All Works. 1450.
https://zuscholars.zu.ac.ae/works/1450
Indexed in Scopus
yes
Open Access
yes
Open Access Type
Bronze: This publication is openly available on the publisher’s website but without an open license