Impact of COVID-19 pandemic news on the cryptocurrency market and gold returns : a quantile-on-quantile regression analysis

Esam Mahdi and Ameena Al-Abdulla

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.

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Year of publication:	2022
Authors:	Mahdi, Esam ; Al-Abdulla, Ameena
Published in:	Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 10.2022, 2, Art.-No. 26, p. 1-14
Subject:	Coronavirus \| Virtuelle Währung \| Virtual currency \| Wirkungsanalyse \| Impact assessment \| Gold \| Welt \| World \| Epidemie \| Epidemic

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/econometrics10020026 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013355084