The impact of COVID-19 pandemic on the dynamic correlations between gold and U.S. equities: evidence from multifractal cross-correlation analysis

被引：2

作者：

Maghyereh A. ^{[1
]}

Abdoh H. ^{[2
]}

Wątorek M. ^{[3
]}

机构：

[1] Department of Accounting and Finance, United Arab Emirates University, Al Ain

[2] Department of Accounting and Finance, The Citadel: The Military College of South Carolina, Charleston, SC

[3] Faculty of Computer Science and Telecommunications, Cracow University of Technology, Kraków

来源：

Quality & Quantity | 2023年 / 57卷 / 2期

关键词：

COVID-19; pandemic; Cross-correlations; Gold; Hedging; Multifractality; U.S; equity;

D O I：

10.1007/s11135-022-01404-x

中图分类号：

学科分类号：

摘要：

This study exploits multifractal cross-correlation analysis (MFCCA) to investigate the impact of the COVID-19 pandemic on the cross-correlations between gold and U.S. equity markets using 1-min high-frequency data from January 1, 2019, to December 29, 2020. The MFCCA method shows that the pandemic caused an increase of multifractality in cross-correlations between the two markets. Specifically, the cross-correlations of small fluctuations became more persistent while those of large fluctuations became less persistent, explaining the source of multifractality. The findings of this study carry significant implications for investors, academicians, and policymakers. For example, the increase of multifractality of cross-correlation means that the non-linear relationship between gold and U.S. equity returns prevails more during economic downturns. Therefore, academicians may resort to non-linear techniques to evaluate the relationship between gold and U.S. equity markets during the health pandemic. Moreover, investors can know the value of hedging benefits over different investment time horizons during the pandemic. Finally, policymakers can better assess the economic downturns (i.e., those caused by health pandemics) over the dynamics of cross-correlation between gold and equity markets to make sound financial policies. © 2022, The Author(s), under exclusive licence to Springer Nature B.V.

引用

页码：1889 / 1903

页数：14

共 45 条

[21]

Kroner K.F., Sultan J., Time-varying distributions and dynamic hedging with foreign currency futures, J. Financ. Quant. Anal., 28, 4, pp. 535-551, (1993)

[22]

Kwapien J., Oswiecimka P., Drozdz S., Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations, Phys. Rev. e., 92, (2015)

[23]

Kwapien J., Watorek M., Drozdz S., Cryptocurrency market consolidation in 2020–2021, Entropy, 23, 12, (2021)

[24]

Li S., Lucey B.M., Reassessing the role of precious metals as safe havens–What colour is your haven and why?, J. Commod. Mark., 7, pp. 1-14, (2017)

[25]

Li S., Lu X., Li J., Cross-correlations between the P2P interest rate, Shibor and treasury yields, Phys. A Stat. Mech. Appl., (2021)

[26]

Lucey B.M., Li S., What precious metals act as safe havens, and when? Some U.S. evidence, Appl. Econ. Lett., 22, 1, pp. 35-45, (2015)

[27]

Maghyereh A., Abdoh H., COVID-19 pandemic and volatility interdependence between gold and financial assets, Appl. Econ., (2021)

[28]

Maghyereh A., Abdoh H., Awartani B., Connectedness and hedging between gold and Islamic securities: a new evidence from time-frequency domain approaches, Pacific Basin Finance J., (2019)

[29]

Maghyereh A., Awartani B., Abul Hassan: can gold be used as a hedge against the risks of Sharia-compliant securities? Application for Islamic portfolio management, J. Asset Manag., 19, 6, pp. 1-19, (2018)

[30]

Maghyereh A., Awartani B., Tziogkidis P., Connectedness and hedging between gold and Islamic securities: a new evidence from time-frequency domain approaches, Pacific Basin Finance J., (2017)

← 1 2 3 4 5 →