Time-Frequency Analysis of COVID-19 Shocks and Energy Commodities
In a time-frequency biwavelet framework, we analysed the short-, medium-, and long-term impacts of COVID-19-related shocks on ten energy commodities (i.e., Brent, crude oil, coal, heating oil, natural gas, gasoline, ethanol, naphtha, propane, and uranium) from January 2020 to April 2022. We document...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi-Wiley
2023-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2023/3982443 |
| _version_ | 1797842305504247808 |
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| author | Samuel Kwaku Agyei Ahmed Bossman Joseph Kofi Obeng Benchie Oliver Asiamah Emmanuel Yaw Arhin |
| author_facet | Samuel Kwaku Agyei Ahmed Bossman Joseph Kofi Obeng Benchie Oliver Asiamah Emmanuel Yaw Arhin |
| author_sort | Samuel Kwaku Agyei |
| collection | DOAJ |
| description | In a time-frequency biwavelet framework, we analysed the short-, medium-, and long-term impacts of COVID-19-related shocks on ten energy commodities (i.e., Brent, crude oil, coal, heating oil, natural gas, gasoline, ethanol, naphtha, propane, and uranium) from January 2020 to April 2022. We document intervals of high and low coherence between COVID-19 cases and the returns on energy commodities across the short-, medium-, and long-term horizons. Low coherence at high frequencies indicated weak correlation and signified diversification, hedging, and safe-haven potentials in the short term of the pandemic. Our findings suggest that energy markets’ dynamics were highly driven by the pandemic, causing significant changes in market returns, particularly across the medium- and low-frequency bands. Furthermore, the empirical results indicate dynamic lead-lag relationships between COVID-19 cases and energy returns between the medium- and long-term horizons, signifying that diversification could be sought through crossinvestment in different energy commodities. The results have significant implications for market participants, regulators, and practitioners. |
| first_indexed | 2024-04-09T16:45:42Z |
| format | Article |
| id | doaj.art-682d684f65cd47a08b3ddd3560963d84 |
| institution | Directory Open Access Journal |
| issn | 1099-0526 |
| language | English |
| last_indexed | 2024-04-09T16:45:42Z |
| publishDate | 2023-01-01 |
| publisher | Hindawi-Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj.art-682d684f65cd47a08b3ddd3560963d842023-04-23T00:00:19ZengHindawi-WileyComplexity1099-05262023-01-01202310.1155/2023/3982443Time-Frequency Analysis of COVID-19 Shocks and Energy CommoditiesSamuel Kwaku Agyei0Ahmed Bossman1Joseph Kofi Obeng Benchie2Oliver Asiamah3Emmanuel Yaw Arhin4Department of FinanceDepartment of FinanceDepartment of FinanceLaboratoire d’Analyse et de Prospective EconomiquesDepartment of AccountingIn a time-frequency biwavelet framework, we analysed the short-, medium-, and long-term impacts of COVID-19-related shocks on ten energy commodities (i.e., Brent, crude oil, coal, heating oil, natural gas, gasoline, ethanol, naphtha, propane, and uranium) from January 2020 to April 2022. We document intervals of high and low coherence between COVID-19 cases and the returns on energy commodities across the short-, medium-, and long-term horizons. Low coherence at high frequencies indicated weak correlation and signified diversification, hedging, and safe-haven potentials in the short term of the pandemic. Our findings suggest that energy markets’ dynamics were highly driven by the pandemic, causing significant changes in market returns, particularly across the medium- and low-frequency bands. Furthermore, the empirical results indicate dynamic lead-lag relationships between COVID-19 cases and energy returns between the medium- and long-term horizons, signifying that diversification could be sought through crossinvestment in different energy commodities. The results have significant implications for market participants, regulators, and practitioners.http://dx.doi.org/10.1155/2023/3982443 |
| spellingShingle | Samuel Kwaku Agyei Ahmed Bossman Joseph Kofi Obeng Benchie Oliver Asiamah Emmanuel Yaw Arhin Time-Frequency Analysis of COVID-19 Shocks and Energy Commodities Complexity |
| title | Time-Frequency Analysis of COVID-19 Shocks and Energy Commodities |
| title_full | Time-Frequency Analysis of COVID-19 Shocks and Energy Commodities |
| title_fullStr | Time-Frequency Analysis of COVID-19 Shocks and Energy Commodities |
| title_full_unstemmed | Time-Frequency Analysis of COVID-19 Shocks and Energy Commodities |
| title_short | Time-Frequency Analysis of COVID-19 Shocks and Energy Commodities |
| title_sort | time frequency analysis of covid 19 shocks and energy commodities |
| url | http://dx.doi.org/10.1155/2023/3982443 |
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