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...

Purpose The paper examines the impact of COVID-19 on bank stock returns over various time scales and frequencies for 36 countries. Moreover, the authors look at the governments' responses to the corona crisis and examine its impact on bank stock returns. Design/methodology/approach: The paper...

We examine the impact of state-level and national-level policy uncertainty (EPU) on stock volatility in 17 different sectors. Based on EPU in 46 U.S. states, we build a local-based index of uncertainty by applying principal component analysis. We compare the impact of this measure with national...

We assess the interplay between public investor attention and trading of the Silicon Valley Bank (SVB) stock before its default on March 10, 2023. Based on intra-day data in 15-minute intervals, we estimate SVB market excess returns and match these with intra-day measures of investor attention...

This study examines the multi-scale impact of financial, newspaper, and Twitter-based uncertainty on bank stock returns in the United States. By combining Principal Component Analysis and Discrete Wavelet Transformation, we estimate directional spillover and causality for different time...