Does tracking the infectious diseases impact the gold, oil and US dollar returns and correlation? A quantile regression approach

Abdel Razzaq Al Rababa'a, Mohammad Alomari, Walid Mensi, Ali Matar and Zaid Saidat

Resources Policy, 2021, vol. 74, issue C

Abstract: This paper examines whether tracking the infectious diseases affects the oil, gold and dollar returns and their dynamic interlinkages. Using a quantile regression approach, we find that tracking the infectious diseases reduces (maximizes) the oil and gold returns at low (high) quantiles. In contrast, the relationship between tracking the diseases and dollar returns is found to be asymmetric with a positive impact at the lower and the intermediate quantiles. Finally, observing the infectious diseases news tends to induce a negative influence on the low and intermediate quantiles correlations. Yet, this evidence is relatively small with the gold-dollar portfolio. The results provide new insights to the investors for the portfolio diversification while tracking the infectious diseases.

Keywords: Infectious diseases; Oil; Gold; Dollar; Dynamic correlation; Quantile regression (search for similar items in EconPapers)
JEL-codes: C32 F31 G11 I10 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003214

DOI: 10.1016/j.resourpol.2021.102311

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