Reactions of Bitcoin and Gold to Categorical Financial Stress: New Evidence from Quantile Estimation
This study examines the responses of Bitcoin and gold to categorical financial stress and compares the responses before and during the COVID-19 pandemic. The OLS and Quantile regression estimations revealed that gold and Bitcoin exhibit similar reactions in full and pre COVID-19 samples. Gold and Bi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-07-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/10/7/136 |
| _version_ | 1797416034944155648 |
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| author | Mohammad Enamul Hoque Soo-Wah Low |
| author_facet | Mohammad Enamul Hoque Soo-Wah Low |
| author_sort | Mohammad Enamul Hoque |
| collection | DOAJ |
| description | This study examines the responses of Bitcoin and gold to categorical financial stress and compares the responses before and during the COVID-19 pandemic. The OLS and Quantile regression estimations revealed that gold and Bitcoin exhibit similar reactions in full and pre COVID-19 samples. Gold and Bitcoin respond positively to equity valuation and safe assets categories of financial stress. Gold also reacts positively to the credit category of financial stress suggesting that widening credit spreads are bullish for gold. Bitcoin and gold respond differently in the funding category, and there is no significant reaction to volatility-related financial stress. Overall, the effects of categorical financial stress on gold and Bitcoin are similar in the full sample and sub-sample before COVID-19, but the effects are heterogeneous. Interestingly, during the pandemic, the reactions of gold and Bitcoin to categorical financial stress have changed. Gold only reacts positively to the credit category of financial stress across quantiles. Bitcoin reacts positively to credit and safe asset categories but not across all quantiles. The findings offer insights into the effects of several systemic financial stress on the value of safe haven assets. |
| first_indexed | 2024-03-09T05:57:57Z |
| format | Article |
| id | doaj.art-187a0d602dd64cb991be868cd5ac3c13 |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-03-09T05:57:57Z |
| publishDate | 2022-07-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-187a0d602dd64cb991be868cd5ac3c132023-12-03T12:11:27ZengMDPI AGRisks2227-90912022-07-0110713610.3390/risks10070136Reactions of Bitcoin and Gold to Categorical Financial Stress: New Evidence from Quantile EstimationMohammad Enamul Hoque0Soo-Wah Low1BRAC Business School, BRAC University, Dhaka 1212, BangladeshGraduate School of Business, Universiti Kebangsaan Malaysia, Bangi 43600, MalaysiaThis study examines the responses of Bitcoin and gold to categorical financial stress and compares the responses before and during the COVID-19 pandemic. The OLS and Quantile regression estimations revealed that gold and Bitcoin exhibit similar reactions in full and pre COVID-19 samples. Gold and Bitcoin respond positively to equity valuation and safe assets categories of financial stress. Gold also reacts positively to the credit category of financial stress suggesting that widening credit spreads are bullish for gold. Bitcoin and gold respond differently in the funding category, and there is no significant reaction to volatility-related financial stress. Overall, the effects of categorical financial stress on gold and Bitcoin are similar in the full sample and sub-sample before COVID-19, but the effects are heterogeneous. Interestingly, during the pandemic, the reactions of gold and Bitcoin to categorical financial stress have changed. Gold only reacts positively to the credit category of financial stress across quantiles. Bitcoin reacts positively to credit and safe asset categories but not across all quantiles. The findings offer insights into the effects of several systemic financial stress on the value of safe haven assets.https://www.mdpi.com/2227-9091/10/7/136goldBitcoinfinancial stressCOVID-19 |
| spellingShingle | Mohammad Enamul Hoque Soo-Wah Low Reactions of Bitcoin and Gold to Categorical Financial Stress: New Evidence from Quantile Estimation Risks gold Bitcoin financial stress COVID-19 |
| title | Reactions of Bitcoin and Gold to Categorical Financial Stress: New Evidence from Quantile Estimation |
| title_full | Reactions of Bitcoin and Gold to Categorical Financial Stress: New Evidence from Quantile Estimation |
| title_fullStr | Reactions of Bitcoin and Gold to Categorical Financial Stress: New Evidence from Quantile Estimation |
| title_full_unstemmed | Reactions of Bitcoin and Gold to Categorical Financial Stress: New Evidence from Quantile Estimation |
| title_short | Reactions of Bitcoin and Gold to Categorical Financial Stress: New Evidence from Quantile Estimation |
| title_sort | reactions of bitcoin and gold to categorical financial stress new evidence from quantile estimation |
| topic | gold Bitcoin financial stress COVID-19 |
| url | https://www.mdpi.com/2227-9091/10/7/136 |
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