Abstract
This paper examines the impact of COVID-19 on bank stock returns over various time scales and frequencies. Considering FTSE banking sector returns in 36 countries, wavelet coherency analysis indicates that the number of confirmed COVID-19 cases negatively impacts bank stock returns during different waves of the pandemic in the medium-run. However, there is only little dependence in the very short-run. Moreover, fixed effects panel regression shows that the bank returns positively react to domestic COVID-19 policy. This ultimately demonstrates that governmental interventions not only reduce the spread of COVID-19 but thereby are also able to calm the financial markets.
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