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Asymmetric nexus between Bitcoin, gold resources and stock market returns: Novel findings from quantile estimates

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  • Jia, Zhenzhen
  • Tiwari, Sunil
  • Zhou, Jianhua
  • Farooq, Muhammad Umar
  • Fareed, Zeeshan

Abstract

In the context of the debate on Bitcoin, gold resources, and stock markets, the current study examines the nexus between the gold market, Bitcoin, and stock market returns. We explore the effects of gold resources, the stock market, and Bitcoin within the Chinese context using the data in Chinese currency and under the lens of the Chinese economic structure. We collected daily data from 3 November 2014 to 31 October 2019 on all our key variables of interest. The study employs the quantile-on-quantile and quantile regression methods for comprehensive empirical analysis. Key findings suggest significant effects of Chinese stock market returns on Bitcoin and gold price effects on Bitcoin exist. In addition, gold prices negatively affect stock market returns and vice versa. The study offers novel implications regarding future cryptocurrency policies, stock markets, and resources in a Chinese context.

Suggested Citation

  • Jia, Zhenzhen & Tiwari, Sunil & Zhou, Jianhua & Farooq, Muhammad Umar & Fareed, Zeeshan, 2023. "Asymmetric nexus between Bitcoin, gold resources and stock market returns: Novel findings from quantile estimates," Resources Policy, Elsevier, vol. 81(C).
    • Handle: RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001137
    DOI: 10.1016/j.resourpol.2023.103405
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    More about this item

    Keywords

    Bitcoin; Gold price; Stock market returns; Quantile and quantile; Chinese economic structure;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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