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19-09-2024

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

Authors: Aissa Djedaiet, Hassan Guenichi, Hicham Ayad

Published in: Journal of Economics and Finance | Issue 4/2024

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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.

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Footnotes
1
Asymmetric oil shocks involve substantial and uneven changes in oil prices that vary in direction or intensity, with positive shocks (sudden price increases) having different effects on gold and BTC compared to negative shocks (sudden price decreases).
 
2
Crude oil has an impact on the gold and BTC markets via changing returns, production costs, and overall economic attitude.
 
Literature
Metadata
Title
Do asymmetric oil shocks impact gold and Bitcoin returns symmetrically? A comparison between the COVID-19 pandemic and the Russo-Ukrainian war
Authors
Aissa Djedaiet
Hassan Guenichi
Hicham Ayad
Publication date
19-09-2024
Publisher
Springer US
Published in
Journal of Economics and Finance / Issue 4/2024
Print ISSN: 1055-0925
Electronic ISSN: 1938-9744
DOI
https://doi.org/10.1007/s12197-024-09692-9

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