Dataset

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.<b>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.</b>

本研究探究了2017年1月至2023年1月期间，原油、天然气、黄金与比特币等主流金融资产，与传染病股票市场波动率追踪指数（Infectious Disease Equity Market Volatility Tracker, IDEMV）、地缘政治风险指数（Geopolitical Risk Index, GPR）等不确定性指数之间的联动关系。本研究采用先进的小波分析技术——小波功率谱（Wavelet Power Spectrum, WPS）、双小波相干性（Bi-Wavelet Coherence, WCA）、多重小波相干性（Multiple Wavelet Coherence, MWC）以及偏小波相干性（Partial Wavelet Coherence, PWC）——分析二者对市场冲击的时频域响应特征。研究结果显示，比特币与西德克萨斯中质原油（WTI）对IDEMV的敏感性呈现时变特征，尤其在短期与中期频域内更为显著，凸显其对COVID-19等公共卫生危机的脆弱性。与之形成对照的是，黄金与天然气对GPR的响应更为强烈：黄金在地缘政治不确定性期间展现出长期主导作用，而比特币与WTI则在公共卫生相关冲击中占据引领地位。俄乌冲突进一步强化了GPR对比特币的影响，并加剧了天然气对地缘政治扰动的脆弱性。上述研究结果凸显了针对健康与地缘政治风险制定差异化应对策略的必要性。政策制定者应完善针对比特币与原油的危机响应框架，而投资者则可通过配置黄金、天然气等抗风险资产优化投资组合，以降低不确定性带来的影响。