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.
Original language | English |
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Article number | 102311 |
Journal | Resources Policy |
Volume | 74 |
DOIs | |
Publication status | Published - 2021 |
Keywords
- Dollar
- Dynamic correlation
- Gold
- Infectious diseases
- Oil
- Quantile regression
ASJC Scopus subject areas
- Economics and Econometrics
- Law
- Management, Monitoring, Policy and Law
- Sociology and Political Science