Analyzing the time-frequency connectedness among oil, gold prices and BRICS geopolitical risks

The time-frequency connectedness among metal, energy and carbon markets pre and during COVID-19 outbreak

“…Since natural gas has lower connectedness with EUA, investors could benefit if they add natural gas in their portfolio to be a hedging need. In addition, gold has lower connectedness with oil before and after the pandemic crisis, compared to previous results of Li et al (2021) and Shah et al (2021) . The reason is that the spillover between gold and oil in previous studies is overestimated due to neglect of the effects from other energy and mental markets.…”

“… Baruník and Křehlík (2018) further proposed the frequency model (BK) to study the connectedness in different frequency domains. A growing number of studies have adopted the DY and the BK method to investigate the relationship between financial and energy markets ( Li et al, 2021 ; Plakandaras et al, 2018 ; Sang et al, 2019 ; Tiwari et al, 2020 ; Xia et al, 2019 ; Zhang and Yan, 2020 ).…”

Public attention, oil and gold markets during the COVID-19: Evidence from time-frequency analysis

“… Maghyereh and Abdoh (2020) argue that the inter-dependence between sentiment and commodity, including crude oil and gold, differs according to time and frequency. Besides, time-frequency dependence has been demonstrated to exist between crude oil and gold markets ( Hu et al, 2020 ; Hung and Vo, 2021 ; Li et al, 2021 ; Ding et al, 2021 ), between investor attention and crude oil markets ( Abdelhedi and Boujebene-Abbes, 2020 ; Chen et al, 2022 ), as well as between investor attention and gold markets ( Su and Li, 2020 ; Zhang et al, 2022 ). However, limited research is on the public attention, crude oil and gold markets during the COVID-19 pandemic ( Tuna and Tuna, 2022 ; Zhang et al, 2022 ).…”

“…The effects of public attention on crude oil and gold prices may vary according to investment strategies and horizons, especially during the COVID-19 pandemic, which motivates us to employ time-frequency analysis. Besides, time-frequency dependence has been demonstrated to exist between crude oil and gold markets ( Hu et al, 2020 ; Hung and Vo, 2021 ; Li et al, 2021 ; Ding et al, 2021 ), between investor attention and crude oil markets ( Abdelhedi and Boujebene-Abbes, 2020 ; Chen et al, 2022 ), as well as between investor attention and gold markets ( Su and Li, 2020 ; Zhang et al, 2022 ), but limited research on the public attention, crude oil and gold markets during the COVID-19 pandemic ( Zhang et al, 2022 ; Tuna and Tuna, 2022 ). Therefore, our research adopts the wavelet analysis and time-frequency domain causality method to investigate the possible nonlinear relationship between public attention to the COVID-19 pandemic, oil and gold markets across time and frequency.…”

How does the COVID-19 outbreak affect the causality between gold and the stock market? New evidence from the extreme Granger causality test

“…Obviously, based on the limited attention, investors usually change their current portfolios for chasing higher profits when extreme shocks occur. Market participants have different investment goals, risk tolerance and preferences, and thus they pay attention to market information provided at different frequencies ( Li et al, 2021 ). In fact, active investors, such as bulge bracket banks, mainly focus on short-run changes among markets while passive investors prefer to focus on the long-term dynamics.…”