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Does tracking the infectious diseases impact the gold, oil and US dollar returns and correlation? A quantile regression approach

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  • Al Rababa'a, Abdel Razzaq
  • Alomari, Mohammad
  • Mensi, Walid
  • Matar, Ali
  • Saidat, Zaid

Abstract

This paper examines whether tracking the infectious diseases affects the oil, gold and dollar returns and their dynamic interlinkages. Using a quantile regression approach, we find that tracking the infectious diseases reduces (maximizes) the oil and gold returns at low (high) quantiles. In contrast, the relationship between tracking the diseases and dollar returns is found to be asymmetric with a positive impact at the lower and the intermediate quantiles. Finally, observing the infectious diseases news tends to induce a negative influence on the low and intermediate quantiles correlations. Yet, this evidence is relatively small with the gold-dollar portfolio. The results provide new insights to the investors for the portfolio diversification while tracking the infectious diseases.

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  • Al Rababa'a, Abdel Razzaq & Alomari, Mohammad & Mensi, Walid & Matar, Ali & Saidat, Zaid, 2021. "Does tracking the infectious diseases impact the gold, oil and US dollar returns and correlation? A quantile regression approach," Resources Policy, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003214
    DOI: 10.1016/j.resourpol.2021.102311
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    Cited by:

    1. Shi, Chunpei & Wei, Yu & Li, Xiafei & Liu, Yuntong, 2023. "Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil," Energy Economics, Elsevier, vol. 126(C).
    2. Feipeng Zhang & Yun Hong & Yanhui Jiang & Jiayi Yu, 2022. "Impact of national media reporting concerning COVID-19 on stock market in China: empirical evidence from a quantile regression," Applied Economics, Taylor & Francis Journals, vol. 54(33), pages 3861-3881, July.
    3. Dash, Saumya Ranjan & Maitra, Debasish, 2022. "The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets: Evidence from the time-frequency co-movements," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    4. Guo, Changrong & Zhang, Xiangyu & Raza, Syed Ali & Masood, Amna, 2024. "Asymmetrical connectedness between infectious diseases-related equity market volatility and prices of precious metals," Resources Policy, Elsevier, vol. 88(C).
    5. Wei, Yu & Wang, Zhuo & Li, Dongxin & Chen, Xiaodan, 2022. "Can infectious disease pandemic impact the long-term volatility and correlation of gold and crude oil markets?," Finance Research Letters, Elsevier, vol. 47(PA).

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    More about this item

    Keywords

    Infectious diseases; Oil; Gold; Dollar; Dynamic correlation; Quantile regression;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • I10 - Health, Education, and Welfare - - Health - - - General

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