TY - JOUR
T1 - COVID-19 pandemic and volatility interdependence between gold and financial assets
AU - Maghyereh, Aktham Issa
AU - Abdoh, Hussein A.
N1 - Funding Information:
This work was supported by the United Arab Emirates University [31B135-UPAR −3- 2020].
Publisher Copyright:
© 2021 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2022
Y1 - 2022
N2 - By using high-frequency data, we examine the volatility linkages patterns between gold and several important asset classes including foreign currency, US equity, oil, bitcoin and agriculture commodity in the period surrounding the COVID-19 pandemic. To this end, we use the cross-wavelet power transform, the cross-wavelet coherency and the dynamic frequency-domain connectedness. We find that the pandemic caused a greater positive association in volatility series between gold and each of the financial assets considered. We document clear findings of phase difference of lead-lag volatility interdependence between gold and the financial assets that varies according to timescales and periods. In general, the long-term connections are strengthened during the pandemic except the case of bitcoin and soya bean suggesting a long-term diversification ability when including them in a portfolio containing gold.
AB - By using high-frequency data, we examine the volatility linkages patterns between gold and several important asset classes including foreign currency, US equity, oil, bitcoin and agriculture commodity in the period surrounding the COVID-19 pandemic. To this end, we use the cross-wavelet power transform, the cross-wavelet coherency and the dynamic frequency-domain connectedness. We find that the pandemic caused a greater positive association in volatility series between gold and each of the financial assets considered. We document clear findings of phase difference of lead-lag volatility interdependence between gold and the financial assets that varies according to timescales and periods. In general, the long-term connections are strengthened during the pandemic except the case of bitcoin and soya bean suggesting a long-term diversification ability when including them in a portfolio containing gold.
KW - COVID-19
KW - dynamic frequency-domain connectedness
KW - financial assets
KW - gold
KW - volatility interdependence
KW - wavelet coherence
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U2 - 10.1080/00036846.2021.1977774
DO - 10.1080/00036846.2021.1977774
M3 - Article
AN - SCOPUS:85115343126
SN - 0003-6846
VL - 54
SP - 1473
EP - 1486
JO - Applied Economics
JF - Applied Economics
IS - 13
ER -