首页|(102868)Public attention, oil and gold markets during the COVID-19: Evidence from time-frequency analysis
(102868)Public attention, oil and gold markets during the COVID-19: Evidence from time-frequency analysis
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NSTL
Elsevier
This paper uses time-frequency analysis, including wavelet analysis and time-frequency domain causality, to evaluate the relationship between public attention to the COVID-19 pandemic, crude oil, and gold markets in the G7 countries over time and frequency. Empirical fndings show that WTI oil lead gold returns during the COVID-19 outbreak, and vice versa when Omicron spread. The relationship between public attention to the COVID-19 and WTI oil/gold markets appears to be heterogeneous for G7 countries. European public attention caused by the COVID-19 outbreak has a strong impact on gold returns at the 32-64 day frequency, while public attention generated by Omicron has a signifcant effect on WTI oil returns at 4-128 day frequency. The public in the US and Canada is more concerned about the global stock and WTI oil markets slump than the COVID-19 pandemic. The Italian public seems to be the most sensitive to the EU's economic support plan. The heterogeneity of the public attention-oil/gold nexus in the G7 implies that portfolio diversifcation across markets and investment horizons may be extremely benefcial.
Sufang Li、Qiufan Xu、Yixue Lv
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School of Statistics and Mathematics, Zhongnan University of Economics and Law, Wuhan, 430073, PR China
NSTL
Elsevier
