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Journal of Economics and Finance

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

verfasst von: Aissa Djedaiet, Hassan Guenichi, Hicham Ayad

Erschienen in: Journal of Economics and Finance

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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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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).

Crude oil has an impact on the gold and BTC markets via changing returns, production costs, and overall economic attitude.

Dataset available at: https://eatradingacademy.com/software/forex-historical-data/.

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Titel: Do asymmetric oil shocks impact gold and Bitcoin returns symmetrically? A comparison between the COVID-19 pandemic and the Russo-Ukrainian war
verfasst von: Aissa Djedaiet
Hassan Guenichi
Hicham Ayad
Publikationsdatum: 19.09.2024
Verlag: Springer US
Erschienen in: Journal of Economics and Finance
Print ISSN: 1055-0925
Elektronische ISSN: 1938-9744
DOI: https://doi.org/10.1007/s12197-024-09692-9