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

This 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.
Highlights • We examine the impacts of COVID-19 on the asymmetric multifractality of gold and oil. • Multifractality is especially higher in the downside (upside) trend for Brent oil (gold). • Before the COVID-19 outbreak, the gold (oil) market was more inefficient during downward (upward) trends. • During the COVID-19 outbreak, gold (oil) is more inefficient during upward (downward) trends. • Gold and oil have become more inefficient during the pandemic outbreak compared to the pre-COVID-19 period.