Abstract
The current study investigates the connectedness between US COVID-19 news, Dowes Jones Index (DJI), green bonds, gold, and bitcoin prices for the period 22 January 2020–3 August 2021. The study has employed wavelet coherency, the continuous wavelet transform, and the wavelet-based Granger causality methods to obtain the dependence result. The continuous wavelet transform (CWT) analysis reveals that the United States equity market prices are extremely sensitive with regard to spreading coronavirus (USCOVID-19) news and changes in the oil price. Green bonds, gold, and bitcoin have minimal connectedness with the equity market, which might lead to the hedge and safe haven role of these assets during the COVID-19 crisis period. Lastly, very strong comovement was found between bitcoin and gold during the entire sample. The results of the present study offer a number of fresh and noticeable policy implications for international investors and asset managers.
Highlights
Variation in financial assets prices is driven by number of macroeconomic variables and investors’ psychology, as supported by a number of studies since the 1980s (Flammer 2020; Kumar and Anandarao 2019; Hayes 2017)
One of the important objectives of this study is to explore which market has the capability to withstand the volatility of USCOVID-19 news and to explore connectedness with each other
Wavelet approaches are well suited for the present study because they help to capture interactive non-linear lead-lag association between desired variables
Summary
Variation in financial assets prices is driven by number of macroeconomic variables and investors’ psychology, as supported by a number of studies since the 1980s (Flammer 2020; Kumar and Anandarao 2019; Hayes 2017). It is highly recommendable to investigate the commodity market (oil, gold) and newly invented (green bonds, and bitcoin) potential avenues for investment and their association with the equity market during the COVID-19 period. The COVID-19 soaring market risk, investigating the financial effect of coronavirus news and changes in commodity prices (oil and gold), bitcoin, and green bonds on equity market. 19 news is the risk factor for the US equity market, as the oil price slump and reassessing the role of gold (traditionally considered safe haven) in the US financial market are other important factors. The present study assesses the impact of COVID-19 news, as well as oil and gold prices on the Dows Jones index (DJI), so we can provide useful insights for the contagion and spillover effect studies in other countries and regions, contributing to this large and important research area.
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
