arbiter
JournalsAccount

COVID-19, economic policy uncertainty and stock returns in selected European countries: a wavelet analysis

Eugene Kouassi et al.

Empirica2026https://doi.org/10.1007/s10663-026-09673-7article
AJG 1ABDC B
Weight
0.50

Abstract

This paper examines the relationship between Economic Policy Uncertainty (EPU) and stock market returns in major European economies, using the COVID-19 pandemic as a structural break. Analyzing data from March 2001 to January 2025 with wavelet techniques, we find a persistent, multi-frequency relationship. Our core result shows that the apparent impact of both COVID-19 and local EPU on peripheral European markets is substantially mediated by spillovers from Germany’s EPU, identifying Germany as a central transmission node. Furthermore, the lead-lag dynamics between uncertainty and returns vary significantly across investment horizons. An extended frequency decomposition reveals that high- and low-frequency components alter the phase relationship, both with and without the COVID-19 variable. We conclude that the EPU-stock return nexus is a complex, frequency-dependent phenomenon, heavily influenced by regional uncertainty spillovers.

Open via your library →

Cite this paper

https://doi.org/https://doi.org/10.1007/s10663-026-09673-7

Or copy a formatted citation

@article{eugene2026,
  title        = {{COVID-19, economic policy uncertainty and stock returns in selected European countries: a wavelet analysis}},
  author       = {Eugene Kouassi et al.},
  journal      = {Empirica},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1007/s10663-026-09673-7},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

COVID-19, economic policy uncertainty and stock returns in selected European countries: a wavelet analysis

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.