Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak

Information transmission and hedging effectiveness for the pairs crude oil-gold and crude oil-Bitcoin during the COVID-19 outbreak

This study uses hourly data to analyse the return and volatility transmission of oil-gold and oil-Bitcoin pairs during the pre-COVID-19 and COVID-19 periods. The results show that the return transmissions vary across the two periods for both pairs. There is a unidirectional volatility spill-over fro...

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Bibliographic Details
Main Authors: Imran Yousaf, Shoaib Ali, Elie Bouri, Tareq Saeed
Format: Article
Language:English
Published: Taylor & Francis Group 2021-05-01
Series:Ekonomska Istraživanja
Subjects:
crude oil
gold
bitcoin
return and volatility spill-overs
hedging effectiveness
safe haven
covid-19
Online Access:http://dx.doi.org/10.1080/1331677X.2021.1927787

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