Co-movement Among COVID-19 Pandemic, Crude Oil, Stock Market of US, and Bitcoin: Empirical Evidence from WCA

Abstract

In this paper, we investigate empirically the time–frequency co-movement among the recent COVID-19 epidemic, the financial stock market indices in USA (S&P500), crude oil price (WTI), and cryptocurrency markets (Bitcoin) using both continuous wavelet transform and wavelet-based approach. In this study, we use continuous wavelet transforms (CWT) and wavelet coherence analyses to study the co-movement among recent spread of the COVID-19 epidemic and US financial market, including the stock market return (S&P500 index), the West Texas Intermediate (WTI) crude oil price and cryptocurrency market (Bitcoin) for the period January 17, 2020 to December 10, 2020. Overall, we find that all variables displays a strong volatility concentrated in the first four months of COVID-19 outbreak. In addition, our findings reveal a strong level of co-movement between US COVID-19 confirmed cases and each US financial market index. In contrast to comparative assessment in conditions of reactions to COVID-19 pandemic in US, US COVID-19 confirmed cases have relative higher impact on the co-movement in WTI and Bitcoin.