Does Heterogeneity in COVID-19 News Affect Asset Market? Monte-Carlo Simulation Based Wavelet Transform

Asima Siddique, Ghulam Mujtaba Kayani and Saira Ashfaq
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Asima Siddique: Management Science Department, COMSATS University Islamabad, Islamabad 46000, Pakistan
Ghulam Mujtaba Kayani: Management Science Department, COMSATS University Islamabad, Islamabad 46000, Pakistan
Saira Ashfaq: Management Science Department, Bahria University Islamabad, Islamabad 44000, Pakistan

JRFM, 2021, vol. 14, issue 10, 1-16

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.

Keywords: COVID-19 news; green bonds; bitcoin; wavelet approach (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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