Do asymmetric oil shocks impact gold and Bitcoin returns symmetrically? A comparison between the COVID-19 pandemic and the Russo-Ukrainian war

Aissa Djedaiet (), Hassan Guenichi and Hicham Ayad
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Aissa Djedaiet: Djilali Bounaama University

Journal of Economics and Finance, 2024, vol. 48, issue 4, No 11, 1187-1213

Abstract: Abstract This study investigates whether gold and Bitcoin show symmetric responses to asymmetric oil shocks and how these responses differ between the COVID-19 pandemic and the Russo-Ukrainian war periods. We analyze the daily prices of these three assets from January 1, 2018, to April 28, 2023, using the DCC-GARCH approach and wavelet analysis. The study reveals four interesting findings. First, fluctuations in oil prices have an asymmetrical impact on both the level and volatility of gold returns, with the effect being more pronounced during declines. Second, as the COVID-19 pandemic and the Russia-Ukraine conflict progressed, the correlation between gold and Brent oil index became stronger, with a negative trend. Third, the increased volatility in BTC returns during the COVID-19 pandemic is linked to a rise in the Brent index. Furthermore, the conditional correlations between BTC returns and the Brent index remained consistent throughout the Russia-Ukraine conflict. Finally, wavelet analysis reveals a generally weak relationship between Brent and gold returns. In contrast, Brent and BTC returns have a negative correlation, and both crises have had serious consequences.

Keywords: Bitcoin; Gold; Brent; COVID-19 pandemic; Russo-Ukrainian war; DCC-GARCH approach; Wavelet analysis (search for similar items in EconPapers)
JEL-codes: C58 G11 G15 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s12197-024-09692-9

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