The Impact of Covid-19 on Polish Stock Market: A Dynamic Conditional Correlation Modelling and Wavelet Coherence Analysis

This paper makes the comparative assessment of the impacts of the first, second, third and fourth waves of the COVID-19 pandemic on the stock market in Poland and on the link between the WIG20 index and the S&P500 index. The Polish stock was chosen as not analyzed enough in terms of the impact of COVID-19 infections, deaths and vaccination program. We examine the co-movement of WIG20 index and pandemic variables based on Dynamic Conditional Correlation models and wavelet coherence analysis. The sample used covers the period from 02.01.2019 to 04.04.2022. Our findings reveal a signifficant impact of pandemic variables on stock market. This evidence is more pronounced in the first and second wave of infections. For the third and fourth waves vaccination program occurred of more importance.