Connectedness of COVID vaccination with economic policy uncertainty, oil, bonds, and sectoral equity markets: evidence from the US

Abstract

We examine the connectedness of the COVID vaccination with the economic policy uncertainty, oil, bonds, and sectoral equity markets in the US within time and frequency domain. The wavelet-based findings show the positive impact of COVID vaccination on the oil and sector indices over various frequency scales and periods. The vaccination is evidenced to lead the oil and sectoral equity markets. More specifically, we document strong connectedness of vaccinations with communication services, financials, health care, industrials, information technology (IT) and real estate equity sectors. However, weak interactions exist within the vaccination–IT-services and vaccination–utilities pairs. Moreover, the effect of vaccination on the Treasury bond index is negative, whereas the economic policy uncertainty shows an interchanging lead and lag relation with vaccination. It is further observed that the interrelation between vaccination and the corporate bond index is insignificant. Overall, the impact of vaccination on the sectoral equity markets and economic policy uncertainty is higher than on oil and corporate bond prices. The study offers several important implications for investors, government regulators, and policymakers.

Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

“…In recent years, the issues of cryptocurrency market contagion, market uncertainty, and market complexity, combined with elevated volatility in major traditional markets, have attracted much interest from academic researchers and market practitioners (Antonakakis et al 2019 ; Xu et al 2019 ; Umar and Gubareva 2020 ; Bouri et al 2021 ; Sebastião and Godinho 2021 ; Fang et al 2022 ; Ghorbel et al 2022 ; Maghyereh and Abdoh 2022 ; Mandaci and Cagli 2022 ; Ren and Lucey 2022 ; Salisu and Ogbonna 2022 ; Umar et al 2022a ; Bossman and Gubareva 2023 ; Yousaf et al 2023 ). One prominent area of research in this field centers on the risk spillover between cryptocurrencies and traditional financial markets, with a particular focus on new avenues for hedging and diversification opportunities in both directions (Hsu et al 2021 ; Zhang and He 2021 ; Attarzadeh and Balcilar 2022 ; Maitra et al 2022 ; Yousaf et al 2022 ; Bossman et al 2023a , b ).…”

The dynamic network of industries in US stock market: Evidence of GFC, COVID-19 pandemic and Russia-Ukraine war

“…They showed that the COVID-19 pandemic has had the greatest impact on the relationships among them. [45] examined the connectedness between the COVID vaccination and sectoral equity markets in the US. According to their findings, vaccination has positively affected the sector indices.…”