Ben Ameur Hanen, Jamaani Fouad, Abu Alfoul Mohammed N
Department of Economics and Finance, Taif University, College of Business Administration, Taif, Saudi Arabia.
Department of Computing Technologies and Data Analytics, Ezymart Corporation Pty Ltd, Sydney, Australia.
PLoS One. 2025 Jul 1;20(7):e0324599. doi: 10.1371/journal.pone.0324599. eCollection 2025.
This study investigates the co-movements between prominent financial assets-crude oil, natural gas, gold, and Bitcoin-and uncertainty indices, including the Infectious Disease Equity Market Volatility Tracker (IDEMV) and the Geopolitical Risk Index (GPR), from January 2017 to January 2023. By employing advanced wavelet techniques-Wavelet Power Spectrum (WPS), Bi-Wavelet Coherence (WCA), Multiple Wavelet Coherence (MWC), and Partial Wavelet Coherence (PWC)-we analyze their time- and frequency-dependent responses to market shocks. The results reveal that Bitcoin and WTI exhibit time-varying sensitivity to IDEMV, particularly at short- and medium-term frequencies, highlighting their vulnerability to health-related crises like COVID-19. In contrast, gold and natural gas respond more strongly to GPR, with gold demonstrating a long-term leading role during geopolitical uncertainties, while Bitcoin and WTI lead in health-related shocks. The Russia-Ukraine conflict further amplified GPR's impact on Bitcoin and increased natural gas's vulnerability to geopolitical disruptions. These findings underscore the need for tailored strategies to address health and geopolitical risks. Policymakers should enhance crisis-response frameworks for Bitcoin and crude oil, while investors can reduce uncertainty by diversifying portfolios with resilient assets like gold and natural gas.
本研究考察了2017年1月至2023年1月期间，主要金融资产（原油、天然气、黄金和比特币）与不确定性指数之间的协同变动关系，不确定性指数包括传染病股票市场波动追踪指数（IDEMV）和地缘政治风险指数（GPR）。通过运用先进的小波技术——小波功率谱（WPS）、双小波相干性（WCA）、多重小波相干性（MWC）和偏小波相干性（PWC），我们分析了它们对市场冲击的时间和频率依赖性响应。结果显示，比特币和西德克萨斯中质油（WTI）对IDEMV表现出时变敏感性，特别是在短期和中期频率上，凸显了它们对像新冠疫情这样与健康相关危机的脆弱性。相比之下，黄金和天然气对GPR的反应更为强烈，黄金在地缘政治不确定性期间发挥长期主导作用，而比特币和WTI在与健康相关的冲击中领先。俄乌冲突进一步放大了GPR对比特币的影响，并增加了天然气在地缘政治干扰下的脆弱性。这些发现强调了制定针对性策略以应对健康和地缘政治风险的必要性。政策制定者应加强针对比特币和原油的危机应对框架，而投资者可以通过将投资组合分散到像黄金和天然气这样有弹性的资产来降低不确定性。
