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This work aims to study the time-frequency relationship between the recent COVID-19 pandemic and instabilities in oil price and the stock market, geopolitical risks, and uncertainty in the economic policy in the USA, Europe, and China. The coherence wavelet method and the wavelet-based Granger causality tests are applied to the data (31st December 2019 to 1st August 2020) based on daily COVID-19 observations, oil prices, US-EPU, the US geopolitical risk index, and the US stock price index. The short- and long-term COVID-19 consequences are depicted differently and may initially be viewed as an economic crisis. The results illustrate the reduced industrial productivity, which intensifies with the increase in the pandemic’s severeness (i.e., a 10.57% decrease in the productivity index with a 1% increase in the pandemic severeness). Similarly, indices for oil demand, stock market, GDP growth, and electricity demand decrease significantly with an increase in the pandemic severeness index (i.e., a 1% increase in the pandemic severeness results in a 0.9%, 0.67%, 1.12%, and 0.65% decrease, respectively). However, the oil market shows low co-movement with the stock exchange, exchange rate, and gold markets. Therefore, investors and the government are recommended to invest in the oil market to generate revenue during the sanctions period.

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This study described an empirical link between COVID-19 fear and stock market volatility. Studying COVID-19 fear with stock market volatility is crucial for planning adequate portfolio diversification in international financial markets. The study used AR (1) -GARCH (1,1) to measure stock market volatility associated with the COVID-19 pandemic. Our findings suggest that COVID-19 fear is the ultimate cause driving public attention and stock market volatility. The results demonstrate that stock market performance and GDP growth decreased significantly through average increases during the pandemic. Further, with a 1% increase in COVID-19 cases, the stock return and GDP decreased by 0.8%, 0.56%, respectively. However, GDP growth demonstrated a slight movement with stock exchange. Moreover, public attention to the attitude of buying or selling was highly dependent on the COVID-19 pandemic reported cases index, death index, and global fear index. Consequently, investment in the gold market, rather than in the stock market, is recommended. The study also suggests policy implications for key stakeholders.

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