Maghyereh Aktham, Abdoh Hussein, Wątorek Marcin
Department of Accounting and Finance, United Arab Emirates University, Al Ain, UAE.
Department of Accounting and Finance, The Citadel: The Military College of South Carolina, Charleston, SC USA.
Qual Quant. 2023;57(2):1889-1903. doi: 10.1007/s11135-022-01404-x. Epub 2022 Jun 13.
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.
本研究利用多重分形交叉相关性分析(MFCCA),采用2019年1月1日至2020年12月29日的1分钟高频数据,研究新冠疫情对黄金与美国股票市场之间交叉相关性的影响。MFCCA方法表明,疫情导致两个市场之间交叉相关性的多重分形性增加。具体而言,小波动的交叉相关性变得更加持久,而大波动的交叉相关性变得不那么持久,这解释了多重分形性的来源。本研究的结果对投资者、学者和政策制定者具有重要意义。例如,交叉相关性多重分形性的增加意味着黄金与美国股票回报之间的非线性关系在经济衰退期间更为普遍。因此,学者们在健康疫情期间可能会采用非线性技术来评估黄金与美国股票市场之间的关系。此外,投资者可以了解疫情期间不同投资时间范围内套期保值收益的价值。最后,政策制定者可以通过黄金与股票市场之间交叉相关性的动态更好地评估经济衰退(即由健康疫情引起的衰退),从而制定合理的金融政策。