COVID-19 news in USA and in China: which is suitable in explaining the nexus among Bitcoin and Gold?
| Autor: | Kamel Naoui, Abdelkader Derbali, Lamia Jamel |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
050208 finance
Financial economics media_common.quotation_subject 05 social sciences Variance (accounting) Surprise Originality Accounting Digital currency 0502 economics and business Value (economics) Economics Production (economics) Financialization 050207 economics Nexus (standard) Finance media_common |
| Zdroj: | Pacific Accounting Review. 33:578-595 |
| ISSN: | 0114-0582 |
| DOI: | 10.1108/par-09-2020-0170 |
| Popis: | Purpose The purpose of this paper is to examine empirically the impact of COVID-19 pandemic news in USA and in China on the dynamic conditional correlation between Bitcoin and Gold. Design/methodology/approach This paper offers a crucial viewpoint to the predictive capacity of COVID-19 surprises and production pronouncements for the dynamic conditional correlation (DCC) among Bitcoin and Gold returns and volatilities using generalized autoregressive conditional heteroskedasticity-DCC-(1,1) through the period of study since July 1, 2019 to June 30, 2020. To assess the unexpected impact of COVID-19, this study pursues the Kuttner’s (2001) methodology. Findings The empirical findings indicate strong important correlation among Bitcoin and Gold if COVID-19 surprises are integrated in variance. This study validates the financialization hypothesis of Bitcoin and Gold. The correlation between Bitcoin and Gold begin to react significantly further in the case of COVID-19 surprises in USA than those in China. Originality/value This paper contributes to the literature on assessing the impact of COVID-19 confirmed cases surprises on the correlation between Bitcoin and Gold. This paper gives for the first time an approach to capture the COVID-19 surprise component. Also, this study helps to improve financial backers and policymakers' comprehension of the digital currencies' market elements, particularly in the hours of amazingly unpleasant and inconspicuous occasions. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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