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

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  • Aktham Issa Maghyereh
  • Hussein A. Abdoh

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.

Suggested Citation

  • Aktham Issa Maghyereh & Hussein A. Abdoh, 2022. "COVID-19 pandemic and volatility interdependence between gold and financial assets," Applied Economics, Taylor & Francis Journals, vol. 54(13), pages 1473-1486, March.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:13:p:1473-1486
    DOI: 10.1080/00036846.2021.1977774
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    Cited by:

    1. Maghyereh, Aktham & Awartani, Basel & Virk, Nader S., 2022. "Asymmetric risk transmissions between oil, gold and US equities: Recent evidence from the realized variance of the futures prices," Resources Policy, Elsevier, vol. 79(C).
    2. Aktham Maghyereh & Hussein Abdoh, 2022. "Can news-based economic sentiment predict bubbles in precious metal markets?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-29, December.

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