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Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices
Resources Policy Số , năm 2020 (Tập 69, trang -)
DOI: 10.1016/j.resourpol.2020.101829
Tài liệu thuộc danh mục: ISI, Scopus
English
English
Từ khóa: Commerce; Costs; Fractals; Gold; Investments; Fractality; Intraday data; Investor sentiments; Market trends; Multifractal detrended fluctuation analysis; Multifractality; Oil market; Oil Prices; Crude oil price; COVID-19; disease spread; economic impact; efficiency measurement; gold; oil supply; price dynamics; trend analysis
Tóm tắt tiếng anh
This paper examines the impacts of COVID-19 on the multifractality of gold and oil prices based on upward and downward trends. We apply the Asymmetric Multifractal Detrended Fluctuation Analysis (A-MF-DFA) approach to 15-min interval intraday data. The results show strong evidence of asymmetric multifractality that increases as the fractality scale increases. Moreover, multifractality is especially higher in the downside (upside) trend for Brent oil (gold), and this excess asymmetry has been more accentuated during the COVID-19 outbreak. Before the outbreak, the gold (oil) market was more inefficient during downward (upward) trends. During the COVID-19 outbreak period, we see that the results have changed. More precisely, we find that gold (oil) is more inefficient during upward (downward) trends. Gold and oil markets have been inefficient, particularly during the outbreak. The efficiency of gold and oil markets is sensitive to scales, market trends, and to the pandemic outbreak, highlighting the investor sentiment effect. � 2020 Elsevier Ltd
