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AuthorMahdi, Esam
AuthorAl-Abdulla, Ameena
Available date2022-06-05T09:41:22Z
Publication Date2022-06-02
Publication NameEconometrics
Identifierhttp://dx.doi.org/10.3390/econometrics10020026
CitationMahdi, 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
URIhttp://hdl.handle.net/10576/31985
AbstractIn 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.
SponsorThis research was supported by Qatar University with a grant number 2022 Cycle #1.
Languageen
PublisherMDPI
Subjectbitcoin
COVID-19
gold
RavenPack’s coronavirus news monitor
quantile-on-quantile regression
TitleImpact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis
TypeArticle
Issue Number2
Volume Number10
ESSN2225-1146
dc.accessType Open Access


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