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Osamah Al-Khazali, Elie Bouri and David Roubaud
''The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin''
( 2018, Vol. 38 No.1 )
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.
Keywords: macroeconomic news surprises; gold; Bitcoin; returns and volatility; GARCH; EGARCH
JEL: Z0 - Other Special Topics: General
F3 - International Finance: General
Manuscript Received : Jan 08 2018 Manuscript Accepted : Feb 27 2018

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