Journal
RESOURCES POLICY
Volume 78, Issue -, Pages -Publisher
ELSEVIER SCI LTD
DOI: 10.1016/j.resourpol.2022.102868
Keywords
Public attention; Oil markets; Gold markets; Multivariate wavelet; Time-frequency
Categories
Funding
- National Social Science Foundation of China [18BTJ032]
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This study uses time-frequency analysis to evaluate the relationship between public attention to the COVID-19 pandemic, crude oil, and gold markets in the G7 countries. The findings show heterogeneity in the relationship, suggesting that portfolio diversification across markets and investment horizons may be beneficial.
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 findings 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 significant 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 diversification across markets and investment horizons may be extremely beneficial.
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