Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis
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...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-06-01
|
| Series: | Econometrics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2225-1146/10/2/26 |
| _version_ | 1797488113977655296 |
|---|---|
| author | Esam Mahdi Ameena Al-Abdulla |
| author_facet | Esam Mahdi Ameena Al-Abdulla |
| author_sort | Esam Mahdi |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-09T23:57:31Z |
| format | Article |
| id | doaj.art-777d94e0d3954e4498871df0db430073 |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-03-09T23:57:31Z |
| publishDate | 2022-06-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-777d94e0d3954e4498871df0db4300732023-11-23T16:22:08ZengMDPI AGEconometrics2225-11462022-06-011022610.3390/econometrics10020026Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression AnalysisEsam Mahdi0Ameena Al-Abdulla1Statistics Program, Department of Mathematics, Statistics and Physics, College of Arts and Sciences, Doha 2713, QatarStatistics Program, Department of Mathematics, Statistics and Physics, College of Arts and Sciences, Doha 2713, QatarIn 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.https://www.mdpi.com/2225-1146/10/2/26bitcoinCOVID-19goldRavenPack’s coronavirus news monitorquantile-on-quantile regression |
| spellingShingle | Esam Mahdi Ameena Al-Abdulla Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis Econometrics bitcoin COVID-19 gold RavenPack’s coronavirus news monitor quantile-on-quantile regression |
| title | Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis |
| title_full | Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis |
| title_fullStr | Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis |
| title_full_unstemmed | Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis |
| title_short | Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis |
| title_sort | impact of covid 19 pandemic news on the cryptocurrency market and gold returns a quantile on quantile regression analysis |
| topic | bitcoin COVID-19 gold RavenPack’s coronavirus news monitor quantile-on-quantile regression |
| url | https://www.mdpi.com/2225-1146/10/2/26 |
| work_keys_str_mv | AT esammahdi impactofcovid19pandemicnewsonthecryptocurrencymarketandgoldreturnsaquantileonquantileregressionanalysis AT ameenaalabdulla impactofcovid19pandemicnewsonthecryptocurrencymarketandgoldreturnsaquantileonquantileregressionanalysis |