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The Coronavirus pandemic is the most massive health and economic crisis that has struck the world in the modern era. In this study, we analyze the relationship between the increasing number of confirmed cases of Coronavirus and volatility in the emerging financial markets in the Middle East. We use two-step analysis- wavelet-based ARMA-EGARCH (1,1). The result provides evidence for the existing correlation between market volatility and percentage change in the number of confirmed coronavirus cases in all countries under the study. This correlation locates at a separate period and different frequencies. Also, results provide evidence that the correlation between market volatility and confirmed cases starts after the beginning of the pandemic for most countries. The study result shows that the growth in the number of confirmed cases negatively affects stock market return and that the decrease in growth in confirmed cases leads to decrease volatility in the market. Finally, the study result shows that market risk has increased due to the outbreak; individual responses in the market relate to the severity of the pandemic in each state.
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