Does Heterogeneity in COVID-19 News Affect Asset Market? Monte-Carlo Simulation Based Wavelet Transform
نویسندگان
چکیده
The current study investigates the connectedness between US COVID-19 news, Dowes Jones Index (DJI), green bonds, gold, and bitcoin prices for period 22 January 2020–3 August 2021. has employed wavelet coherency, continuous transform, wavelet-based Granger causality methods to obtain dependence result. transform (CWT) analysis reveals that United States equity market are extremely sensitive with regard spreading coronavirus (USCOVID-19) news changes in oil price. Green have minimal market, which might lead hedge safe haven role of these assets during crisis period. Lastly, very strong comovement was found gold entire sample. results present offer a number fresh noticeable policy implications international investors asset managers.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2021
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm14100463