Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis

Abstract

In this paper, we investigate the relationship between the RavenPack news-based index associated with coronavirus outbreak (Panic, Sentiment, Infodemic, and Media Coverage) and returns of two commodities—Bitcoin and gold. We utilized the novel quantile-on-quantile approach to uncover the dependence between the news-based index associated with coronavirus outbreak and Bitcoin and gold returns. Our results reveal that the daily levels of positive and negative shocks in indices induced by pandemic news asymmetrically affect the Bearish and Bullish on Bitcoin and gold, and fear sentiment induced by coronavirus-related news plays a major role in driving the values of Bitcoin and gold more than other indices. We find that both commodities, Bitcoin and gold, can serve as a hedge against pandemic-related news. In general, the COVID-19 pandemic-related news encourages people to invest in gold and Bitcoin.

Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality

“…Bitcoin’s underlying technology, blockchain, also has several benefits, including distributed ledger, decentralization, information transparency, tamper-proof design, and openness (Xu et al 2019 ). In line with Chen et al ( 2022 ), Mahdi and Al–Abdulla ( 2022 ), and Banerjee et al ( 2022 ), we obtained coronavirus indices from RavenPack. RavenPack Coronavirus Media Monitor synthesizes the feelings (mood) expressed in news reports and public posts, which are then converted into convenient metrics (Rahadian and Nurfitriani 2022 ).…”

“…Furthermore, the positive impact of the pandemic sentiment on Bitcoin returns is consistent with Goodell and Goutte ( 2021 ). Additionally, Mahdi and Al–Abdulla ( 2022 ) showed that Bitcoin returns increase as the frequency of fear-related headlines increases. Following Shrotryia and Kalra ( 2021 ) and Marobhe ( 2022 ), the empirical findings reject any uneven behavioral shape throughout the pandemic disorder.…”

“…First, to the best of our knowledge, only Banerjee et al ( 2022 ) approached the whole RavenPack pandemic indices on the cryptocurrency market; however, they did not consider any measure regarding new pandemic cases and deaths or the VIX index. Mahdi and Al−Abdulla ( 2022 ) used the RavenPack coronavirus news-based indices but did not include the Coronavirus Hype Index and Coronavirus Fake News Index. Youssef and Waked ( 2022 ) employed the Media Coverage Index but explored the herding behavior in the cryptocurrency market.…”