ABSTRACT
The rapid spread of coronavirus (COVID-19) significantly destabilized the global financial and economic conditions, prompting investors to seek safer investments for their portfolios. This study examines the contagion effect and dynamic relationship between DJI, DJIM, gold, silver, oil, bitcoin, ethereum and cryptocurrency index using data obtained before (18 June 2019–29 January 2020), during the first phase (30 January – 11 September 2020) and after the first phase of COVID-19 pandemic (12th September 2020 - 3rd January 2022). We employed three main methodologies: MGARCH-DCC, MODWT and Wavelet Coherence analysis, to investigate the safe haven property of major investable assets during the pandemic. The findings revealed that gold offers a safe trading opportunity due to its lower volatility and correlation across the different stock market investment horizons (with a few exceptions), contrary to other assets, which exhibits high volatility and correlation. The phase pattern demonstrated the existence of a dynamic asymmetric relationship between the studied investable assets and stock market returns. Furthermore, the study also found that the dynamic lead-lag relationship of investable assets with the stock market returns varies depending on the investment horizons before and during the pandemic. © 2023 Elsevier Inc.