Volatility spillover and dynamic correlation between Islamic, conventional, cryptocurrency and precious metal markets during the immediate outbreak of COVID-19 pandemic

【Author】 Karim, Muhammad Mahmudul; Noman, Abu Hanifa Md.; Hassan, M. Kabir; Khan, Asif; Kawsar, Najmul Haque

【Source】INTERNATIONAL JOURNAL OF ISLAMIC AND MIDDLE EASTERN FINANCE AND MANAGEMENT

【影响因子】2.853

【Abstract】PurposeThis paper aims to investigate the immediate effect of the outbreak of the COVID-19 pandemic by investigating volatility transmission and dynamic correlation between stock (conventional and Islamic) markets, bitcoin and major commodities such as gold, oil and silver at different investment horizons before and after 161 trading days of the outbreak of the COVID-19 pandemic.Design/methodology/approachThe MGARCH-DCC and maximum overlap discrete wavelet transform -based cross-correlation were used in the estimation of the volatility spillover and continuous wavelet transform in the estimation of the time-varying volatility and correlation between the assets at different investment horizons.FindingsThe authors observed a sudden correlation breakdown following the COVID-19 shock. Oil (Bitcoin) was a major volatility transmitter before (during) COVID-19. Digital gold (Bitcoin), gold and silver became highly correlated during COVID-19. The highest co-movement between the assets was observed at medium and long-term investment horizons.Practical implicationsThe study findings have a financial implication for day traders, investors and policymakers in the understanding of volatility transmission and intercorrelation in a bid to actively manage stylized and well-diversified asset portfolios.Originality/valueThis study is unique for its employment in estimating the time-varying conditional volatility of the investable assets and cross-correlations between them at different investment horizons, particularly before and after COVID-19 outbreak.

【Keywords】Volatility transmission; Investable assets; GARCH0-DCC; Wavelet analysis; Covid-19 pandemic; E31; G01; G11; G12; G13; M5

【发表时间】2024 2024 JUL 24

【收录时间】2024-07-29

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