Volatility Contagion during Covid-19: New Evidence from Oil, Cryptocurrency, Gold and Stock Markets

Key Points

• The aim is to explore how volatility spreads among different financial markets during the Covid-19 pandemic.
• Analyzed market data for oil, cryptocurrency, gold, and stocks
• Identified volatility contagion patterns
• Used statistical models to assess market interconnections
• Establishes significant volatility contagion from oil to other markets
• Finds heightened interdependence among cryptocurrency, gold, and stock markets during the pandemic
• Indicates that market reactions are influenced by global economic conditions