Investor Behavior in Gold, US Dollars and Cryptocurrency during Global Pandemics
Abstract
1. Introduction
2. Research Methods, Data and Results
2.1. Sources of Data
2.2. Trend of Data
2.3. Unit Root Test (Augmented Dickey–Fuller Test)
Results
2.4. Granger Causality Test
Results
- The null hypothesis for Granger causality has not been accepted for COVID-19 cases to gold price (i.e., the Granger causality exists);
- The null hypothesis for Granger causality has not been accepted for COVID-19 cases to USD index (i.e., the Granger causality exists);
- The null hypothesis for Granger causality has been accepted for COVID-19 cases to bitcoin (i.e., the Granger causality does not exist).
- The null hypothesis for Granger causality has been accepted for SARS cases to gold price (i.e., the Granger causality does not exist);
- The null hypothesis for Granger causality has been accepted for SARS cases to USD index (i.e., the Granger causality does not exist);
- Therefore, there is causality from SARS case numbers to gold price as well as to USD.
2.5. Johansen Co-Integration Test and VECM Parameters for Bivariate Modelling Using Engle—Granger Test
Results
- Co-integration exists between COVID-19 cases and gold price (h = 1) with a beta coefficient of 0.0166.
- Co-integration exists between COVID-19 cases and USD index (h = 1) with a beta coefficient of 1.9004 × 10−7.
- Co-integration exists between COVID-19 cases and bitcoin price (h = 1) with a beta coefficient of 1.9.
- Co-integration exists from SARS cases to gold price (h = 1) and the beta coefficient is −0.0173.
- Co-integration exists from SARS cases to USD index (h = 1) and the beta coefficient is −0.0328.
3. Results Analysis and Findings of the Research
4. Conclusions
Author Contributions
Funding
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
References
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Currency | Weight Ratio from USD Index | World Currency Trade (%) * | Calculation for Actual % of Different Currency Trade Excluding USD | Over- or Under- Representation (+/−) in USD Index |
---|---|---|---|---|
US Dollars (USD) | N/A | 44.15% | N/A | N/A |
Euro | 57.6% | 16.14% | 28.7% | |
Japanese Yen | 13.6% | 8.4% | −1.44% | |
Pound Sterling | 11.9% | 6.4% | 0.44% | |
Australian Dollars (AUD) | ~0% | 3.38% | −6.05% | |
Canadian Dollar | 9.1% | 2.52% | 4.59% | |
Swedish Krona | 4.2% | 1.11% | 2.21% | |
Swiss Franc | 3.6% | 4.44% | −0.84% | |
Chinese Renminbi | ~0% | 2.16% | −3.87% | |
Hong Kong Dollar | ~0% | 1.77% | −3.17% |
COVID-19 Case Numbers | Gold Price (USD) | |||
---|---|---|---|---|
Lag (Days) | p Value | Decision | p Value | Decision |
0 | 0.1975 | Non-stationary | 0.7715 | Non-stationary |
1 | 0.1720 | Non-stationary | 0.8025 | Non-stationary |
2 | 0.6608 | Non-stationary | 0.8040 | Non-stationary |
3 | 0.9757 | Non-stationary | 0.8003 | Non-stationary |
4 | 0.9973 | Non-stationary | 0.8247 | Non-stationary |
5 | 0.9353 | Non-stationary | 0.8409 | Non-stationary |
6 | 0.8734 | Non-stationary | 0.8304 | Non-stationary |
SARS Case Numbers | USD Index | Bitcoin Price (USD) | ||||
---|---|---|---|---|---|---|
Lag (Days) | p Value | Decision | p Value | Decision | p Value | Decision |
0 | 0.1975 | Non-stationary | 0.7715 | Non-stationary | 0.4314 | Non-stationary |
1 | 0.1720 | Non-stationary | 0.8025 | Non-stationary | 0.4433 | Non-stationary |
2 | 0.6608 | Non-stationary | 0.8040 | Non-stationary | 0.4419 | Non-stationary |
3 | 0.9757 | Non-stationary | 0.8003 | Non-stationary | 0.4347 | Non-stationary |
4 | 0.9973 | Non-stationary | 0.8247 | Non-stationary | 0.4193 | Non-stationary |
5 | 0.9353 | Non-stationary | 0.8409 | Non-stationary | 0.4137 | Non-stationary |
6 | 0.8734 | Non-stationary | 0.8304 | Non-stationary | 0.4026 | Non-stationary |
COVID-19 → Gold | COVID-19 → USD Index | COVID-19 → Bitcoin | |
---|---|---|---|
Outcome | h = 1 | h = 1 | h = 0 |
p value | 0.027 | 1.2095 × 10−10 | 0.801 |
For SARS → GOLD | For SARS → USD | |
---|---|---|
Outcome | h = 1 | h = 1 |
p value | 0.0252 | 0.007 |
COVID-19 → Gold | COVID-19 → USD Index | COVID-19 → Bitcoin | |
---|---|---|---|
Outcome | h = 1 | h = 1 | h = 1 |
p value | 0.031 | 0.0292 | 0.001 |
Beta | [1, −0.0166] | [1, −1.9004 × 10−7] | [1, −1.9] |
SARS → Gold Price | SARS → USD | |
---|---|---|
Outcome | h = 1 | h = 1 |
p value | 0.023 | 0.035 |
Beta | [1, −0.0173] | [1, −0.0328] |
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Kim, Y.; Topal, E.; Ghosh, A.K.; Asad, M.W.A. Investor Behavior in Gold, US Dollars and Cryptocurrency during Global Pandemics. Economies 2024, 12, 64. https://doi.org/10.3390/economies12030064
Kim Y, Topal E, Ghosh AK, Asad MWA. Investor Behavior in Gold, US Dollars and Cryptocurrency during Global Pandemics. Economies. 2024; 12(3):64. https://doi.org/10.3390/economies12030064
Chicago/Turabian StyleKim, Yoochan, Erkan Topal, Apurna Kumar Ghosh, and Mohammad Waqar Ali Asad. 2024. "Investor Behavior in Gold, US Dollars and Cryptocurrency during Global Pandemics" Economies 12, no. 3: 64. https://doi.org/10.3390/economies12030064
APA StyleKim, Y., Topal, E., Ghosh, A. K., & Asad, M. W. A. (2024). Investor Behavior in Gold, US Dollars and Cryptocurrency during Global Pandemics. Economies, 12(3), 64. https://doi.org/10.3390/economies12030064