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
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Esam Mahdi: Statistics Program, Department of Mathematics, Statistics and Physics, College of Arts and Sciences, Doha 2713, Qatar
Ameena Al-Abdulla: Statistics Program, Department of Mathematics, Statistics and Physics, College of Arts and Sciences, Doha 2713, Qatar

Econometrics, 2022, vol. 10, issue 2, 1-14

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.

Keywords: bitcoin; COVID-19; gold; RavenPack’s coronavirus news monitor; quantile-on-quantile regression (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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