Uncertainty due to infectious diseases and bitcoin-gold nexus: Evidence from a non-parametric causality-in-quantiles approach

【Author】 Fasanya, Ismail O.; Oyewole, Oluwatomisin; Dauda, Mariam

【Source】RESOURCES POLICY

【影响因子】8.222

【Abstract】The interconnection between bitcoin and gold markets has attracted a lot of interest among investors, policy makers, practitioners and market participants. The objective of this paper is to examine the role of infectious diseases-based uncertainty on the connection between bitcoin and gold markets using a battery of spillovers and causality tests. The following findings are discernible from our analyses. First, the spillover tests, there exists a low level of connection between the two markets, and implying that there were diversification options. Second, the spillover results also reveal that the gold market is a net transmitter of volatility, while bitcoin market is a net receiver of the shocks. Third, BDS test shows strong evidence of nonlinearity is a very crucial factor to be put into consideration when examining the role of health-based uncertainty affecting the interactions between bitcoin and gold markets. Fourth, there is evidence of a linear relationship between bitcoin-gold connectedness and infectious diseases uncertainty mostly for the full sample period. Fifth, the non-parametric causality-in-quantile test confirms that the connectedness between uncertainty due to infectious diseases and the markets is stronger mostly around the lower quantiles. These results have important policy implications for policymakers and market participants.

【Keywords】Bitcoin-Gold nexus; Infectious Diseases-based Uncertainty; Spillovers; Nonlinearity; Causality-in-quantiles

【发表时间】2023 MAY

【收录时间】2023-05-22

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币