Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices

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buir.contributor.authorŞensoy, Ahmet
dc.citation.epage11en_US
dc.citation.spage1en_US
dc.citation.volumeNumber69en_US
dc.contributor.authorMensi, W.
dc.contributor.authorŞensoy, Ahmet
dc.contributor.authorVo, X. V.
dc.contributor.authorKang, S. H.
dc.date.accessioned2021-03-05T08:04:03Z
dc.date.available2021-03-05T08:04:03Z
dc.date.issued2020
dc.departmentDepartment of Managementen_US
dc.description.abstractThis 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.en_US
dc.description.provenanceSubmitted by Zeynep Aykut (zeynepay@bilkent.edu.tr) on 2021-03-05T08:04:03Z No. of bitstreams: 1 Impact_of_COVID_19_outbreak_on_asymmetric_multifractality_of_gold_and_oil_prices.pdf: 5684489 bytes, checksum: d8fc133530988f373b5cd9059ca587d2 (MD5)en
dc.description.provenanceMade available in DSpace on 2021-03-05T08:04:03Z (GMT). No. of bitstreams: 1 Impact_of_COVID_19_outbreak_on_asymmetric_multifractality_of_gold_and_oil_prices.pdf: 5684489 bytes, checksum: d8fc133530988f373b5cd9059ca587d2 (MD5) Previous issue date: 2020en
dc.embargo.release2022-12-01
dc.identifier.doi10.1016/j.resourpol.2020.101829en_US
dc.identifier.issn0301-4207
dc.identifier.urihttp://hdl.handle.net/11693/75822
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://dx.doi.org/10.1016/j.resourpol.2020.101829en_US
dc.source.titleResources Policyen_US
dc.subjectGolden_US
dc.subjectCrude oilen_US
dc.subjectHigh frequencyen_US
dc.subjectCOVID-19en_US
dc.subjectHurst exponenten_US
dc.subjectA-MF-DFAen_US
dc.titleImpact of COVID-19 outbreak on asymmetric multifractality of gold and oil pricesen_US
dc.typeArticleen_US

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