Information spillover effects from media coverage to the crude oil, gold, and Bitcoin markets during the COVID-19 pandemic: Evidence from the time and frequency domains

Many scholars have explored the COVID-19 impact on the crude oil, gold, and Bitcoin markets, whereas most have ignored the media coverage influence. This paper focuses on examining information spillover from epidemic-related news to the crude oil, gold, and Bitcoin markets with the time-frequency analysis method. The empirical results reveal that both the return and volatility spillovers from epidemic-related news to the crude oil, gold, and Bitcoin markets are stronger in the short term (less than 1 week). In the long term, only the media sentiment index notably impacts crude oil, gold, and Bitcoin market returns. The volatility spillover from media coverage to crude oil mainly occurs in the short term. Regarding the gold and Bitcoin markets, the long-term volatility spillovers are significant. An obvious risk contagion path is found. Media hype is the main risk transmitter and transmits vast shocks to these three markets, especially the Bitcoin market, which subsequently transmits these shocks to the gold market. Risk accumulates systemically in the gold and Bitcoin markets. These findings have crucial empirical implications for policymakers and investors when formulating related short- or long-term decisions during the pandemic.