ABSTRACT
PurposeThis paper investigates the impact of global sentiment and various coronavirus disease 2019 (COVID-19)-related media coverage news (Media-Hype index;Panic Index;Media Coverage Index, infodemic index and coronavirus statistics) on the dynamics of bitcoin returns during the COVID-19 pandemic using an asymmetric framework.Design/methodology/approachThe authors use an asymmetric framework based on quantile regression (QR) and quantile-on-quantile regression.FindingsQR results show that COVID-19 panic news negatively affects bitcoin market returns at times of extreme bearish. However, COVID-19 bullish sentiment negatively impacts bitcoin market returns during bullish market conditions. Quantile-on-quantile approach's (QQA) empirical results show that the effects of COVID-19-related news on bitcoin returns were heterogeneous, mainly negative and varied across quantiles.Research limitations/implicationsThe authors find some significant differences regarding the impact of news on bitcoin return dynamics compared to stock markets, suggesting the safe-haven role of bitcoin against stock during the ongoing epidemic.Practical implicationsThe authors find some significant differences regarding the impact of news on bitcoin return dynamics compared to stock markets, suggesting the safe-haven role of bitcoin against stock during the ongoing epidemic.Originality/valueThis study contributes to understanding the dynamics of bitcoin returns using various COVID-19 media news.
ABSTRACT
We examine the hedge and safe-haven properties of four commodity classes (precious metals, energy, agriculture and livestock) for the overall and sectoral equity markets of the US and China. In doing so, we employ two quantiles-based approaches, quantile regression and cross-quantilogram, using daily data from 25 September 2014 to 06 July 2020. The hedging effectiveness (HE) and time-varying conditional diversification benefits (CDB) are estimated. Our findings indicate that precious metals and agricultural commodities are weak safe havens for all equity sectors of China and the United States. In contrast, energy and livestock commodities are weak safe havens only for the information technology and healthcare sectors. Precious metals show better HE, whereas all commodities offer strong CDB. Our findings may be helpful for sectoral investors offsetting equity losses by investing in various commodity classes. © 2023 John Wiley & Sons Ltd.
ABSTRACT
Purpose: This paper aims to investigate the hedge, safe-haven and diversifier properties of Islamic indexes, Bitcoin and gold for ten of the most affected countries by the coronavirus, which are the USA, Brazil, the UK, Italy, Spain, Germany, France, Russia, China and Malaysia. Design/methodology/approach: This research uses the Ratner and Chiu (2013) methodology based on the dynamic conditional correlation models to improve Baur and McDermott (2010). The authors adopt a careful investigation of the features of a diversifier, hedge and safe haven using the dynamic conditional correlation–GARCH and quantile regression models. Findings: Empirical results indicate that Islamic indexes are not considered as hedge assets for the conventional market for all studied countries during the COVID-19 pandemic crisis period. However, gold works as a strong hedge in all countries, except for Brazil and Malaysia. Bitcoin is a strong hedge in the USA and a strong hedge and safe haven in China. Practical implications: International investors in China and the US stock markets should replace Islamic indexes with Bitcoin in their conventional portfolio of securities during the pandemic. Originality/value: To the best of the authors' knowledge, this is the first paper that re-evaluates the hedge, safe-haven and diversifier properties of Islamic indexes, Bitcoin and gold for ten of the most affected countries by the coronavirus. © 2022, Emerald Publishing Limited.
ABSTRACT
Purpose This paper aims to investigate whether Islamic indexes, Bitcoin and gold still act as hedges or/and "safe-haven" assets during the COVID-19 pandemic crisis. This paper examines the role of the Morgan Stanley Capital International all-country world index, Islamic index, gold and Bitcoin as a hedge or safe-haven asset for the world conventional stock market over the period from April 30, 2015 to March 27, 2020. Design/methodology/approach In this paper, the authors re-evaluate the hedge and safe haven properties of Islamic indexes, gold and Bitcoin following Baur and Lucey's (2010) and Baur and McDermott's (2010) methodology. Findings Empirical results show that the Islamic index is not a hedge or a safe haven asset for the world conventional stock market during the recent coronavirus crisis period. Different from the whole period, the authors find that gold is a strong hedge but only a weak safe or is not a safe haven during the coronavirus sub-period. Bitcoin reports distinctive properties, as it acts as a weak hedge and not a safe-haven asset. Originality/value This paper is the first study that investigates whether the global Islamic index still acts as hedges or "safe-haven" assets during the new COVID-19 crisis period. The results can help investors make informed decisions when adding cryptocurrencies and Islamic indexes to their portfolios during the coronavirus crisis.