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The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin

Author

Listed:
  • Osamah Al-Khazali

    (American University of Sharjah Sharjah)

  • Elie Bouri

    (Holy Spirit University of Kaslik (USEK))

  • David Roubaud

    (Montpellier Business School)

Abstract

We examine the impact of positive versus negative macroeconomic news surprises, originating from large developed economies, on the returns and volatility of gold and Bitcoin prices over the period July 19, 2010 – February 7, 2017. We find an asymmetric impact and evidence that gold is different from Bitcoin. Specifically, gold returns and volatility systematically react to macroeconomic news surprises in a manner consistent with its traditional role as a safe-haven, whereas Bitcoin prices and volatility do not mostly react in a similar manner. Our results are useful for investment decision-making.

Suggested Citation

  • Osamah Al-Khazali & Elie Bouri & David Roubaud, 2018. "The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin," Economics Bulletin, AccessEcon, vol. 38(1), pages 373-382.
    • Handle: RePEc:ebl:ecbull:eb-18-00024
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    References listed on IDEAS

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    More about this item

    Keywords

    macroeconomic news surprises; gold; Bitcoin; returns and volatility; GARCH; EGARCH;
    All these keywords.

    JEL classification:

    • Z0 - Other Special Topics - - General
    • F3 - International Economics - - International Finance

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