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The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin

Osamah Al-Khazali (), Elie Bouri () and David Roubaud
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Osamah Al-Khazali: American University of Sharjah Sharjah

Economics Bulletin, 2018, vol. 38, issue 1, 373-382

Abstract: We examine the impact of positive versus negative macroeconomic news surprises, originating from large developed economies, on the returns and volatility of gold and Bitcoin prices over the period July 19, 2010 – February 7, 2017. We find an asymmetric impact and evidence that gold is different from Bitcoin. Specifically, gold returns and volatility systematically react to macroeconomic news surprises in a manner consistent with its traditional role as a safe-haven, whereas Bitcoin prices and volatility do not mostly react in a similar manner. Our results are useful for investment decision-making.

Keywords: macroeconomic news surprises; gold; Bitcoin; returns and volatility; GARCH; EGARCH (search for similar items in EconPapers)
JEL-codes: Z0 F3 (search for similar items in EconPapers)
Date: 2018-02-27
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