COVID-19 pandemic and volatility interdependence between gold and financial assets

    Research output: Contribution to journalArticlepeer-review

    7 Citations (Scopus)

    Abstract

    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.

    Original languageEnglish
    Pages (from-to)1473-1486
    Number of pages14
    JournalApplied Economics
    Volume54
    Issue number13
    DOIs
    Publication statusPublished - 2022

    Keywords

    • COVID-19
    • dynamic frequency-domain connectedness
    • financial assets
    • gold
    • volatility interdependence
    • wavelet coherence

    ASJC Scopus subject areas

    • Economics and Econometrics

    Fingerprint

    Dive into the research topics of 'COVID-19 pandemic and volatility interdependence between gold and financial assets'. Together they form a unique fingerprint.

    Cite this