Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis
| Author | Mahdi, Esam |
| Author | Al-Abdulla, Ameena |
| Available date | 2022-06-05T09:41:22Z |
| Publication Date | 2022-06-02 |
| Publication Name | Econometrics |
| Identifier | http://dx.doi.org/10.3390/econometrics10020026 |
| Citation | Mahdi, E.; Al-Abdulla, A. Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis. Econometrics 2022, 10, 26. https://doi.org/10.3390/econometrics10020026 |
| Abstract | In this paper, we investigate the relationship between the RavenPack news-based index associated with coronavirus outbreak (Panic, Sentiment, Infodemic, and Media Coverage) and returns of two commodities—Bitcoin and gold. We utilized the novel quantile-on-quantile approach to uncover the dependence between the news-based index associated with coronavirus outbreak and Bitcoin and gold returns. Our results reveal that the daily levels of positive and negative shocks in indices induced by pandemic news asymmetrically affect the Bearish and Bullish on Bitcoin and gold, and fear sentiment induced by coronavirus-related news plays a major role in driving the values of Bitcoin and gold more than other indices. We find that both commodities, Bitcoin and gold, can serve as a hedge against pandemic-related news. In general, the COVID-19 pandemic-related news encourages people to invest in gold and Bitcoin. |
| Sponsor | This research was supported by Qatar University with a grant number 2022 Cycle #1. |
| Language | en |
| Publisher | MDPI |
| Subject | bitcoin COVID-19 gold RavenPack’s coronavirus news monitor quantile-on-quantile regression |
| Type | Article |
| Issue Number | 2 |
| Volume Number | 10 |
| ESSN | 2225-1146 |
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COVID-19 Research [755 items ]
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Mathematics, Statistics & Physics [666 items ]