1,278
Views
4
CrossRef citations to date
0
Altmetric
FINANCIAL ECONOMICS

Time-frequency moment interdependence of equity, oil, and gold markets during the COVID-19 pandemic

ORCID Icon &
Article: 2085292 | Received 29 Jan 2022, Accepted 30 May 2022, Published online: 07 Jun 2022

Figures & data

Figure 1. Time evolution of the first four moments of equity, gold, and oil returns.

Figure 1. Time evolution of the first four moments of equity, gold, and oil returns.

Table 1. Summary statistics and unit root tests

Table 2. Correlation coefficients during the pre-pandemic period

Table 3. Correlation coefficients during pandemic period

Figure 2. Continuous wavelet power spectra of the moment time series.

Notes: This figure shows the Morlet wavelet power spectra of the individual time series. Vertical and horizontal axes indicate the frequency bands and investigation period in days, respectively.  
Figure 2. Continuous wavelet power spectra of the moment time series.

Figure 3. Cross-wavelet coherence of the first four moment pairs of stock and gold returns.

Notes: This figure depicts the wavelet coherence and phase-difference between each of the first four moment pairs of stock and gold returns. Vertical and horizontal axes show the frequency bands and investigation period in days, respectively.  
Figure 3. Cross-wavelet coherence of the first four moment pairs of stock and gold returns.

Figure 4. Cross-wavelet coherence of the first four moment pairs of oil and stock returns.

Notes: This figure depicts the wavelet coherence and phase-difference between each of the first four moment pairs of oil and stock returns. Vertical and horizontal axes show the frequency bands and investigation period in days, respectively.  
Figure 4. Cross-wavelet coherence of the first four moment pairs of oil and stock returns.