Comparison of the Asymmetric Relationship between Bitcoin and Gold, Crude Oil, and the U.S. Dollar before and after the COVID-19 Outbreak

Liu, Yadong; Naktnasukanjn, Nathee; Tamprasirt, Anukul; Rattanadamrongaksorn, Tanarat

doi:10.3390/jrfm16100455

Cited by 3 publications

(2 citation statements)

References 73 publications

(77 reference statements)

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“…(2022), Sarkodie et al . (2022) and Liu et al . (2023), which demonstrate the notable influence of the COVID-19 pandemic on BTC's price fluctuations and volatility.…”

Section: Literature Reviewmentioning

confidence: 97%

“…There have been various studies conducted by Jana and Das (2020), Arouxet et al (2022), Sarkodie et al (2022) and Liu et al (2023), which demonstrate the notable influence of the COVID-19 pandemic on BTC's price fluctuations and volatility. Obviously, the association between BTC and other financial assets should also change significantly during the epidemic.…”

Section: Literature Reviewmentioning

confidence: 99%

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Do crude oil, gold and the US dollar contribute to Bitcoin investment decisions? An ANN-DCC-GARCH approach

Liu,

Naktnasukanjn,

Tamprasirt

et al. 2024

AJEB

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PurposeBitcoin (BTC) is significantly correlated with global financial assets such as crude oil, gold and the US dollar. BTC and global financial assets have become more closely related, particularly since the outbreak of the COVID-19 pandemic. The purpose of this paper is to formulate BTC investment decisions with the aid of global financial assets.Design/methodology/approachThis study suggests a more accurate prediction model for BTC trading by combining the dynamic conditional correlation generalized autoregressive conditional heteroscedasticity (DCC-GARCH) model with the artificial neural network (ANN). The DCC-GARCH model offers significant input information, including dynamic correlation and volatility, to the ANN. To analyze the data effectively, the study divides it into two periods: before and during the COVID-19 outbreak. Each period is then further divided into a training set and a prediction set.FindingsThe empirical results show that BTC and gold have the highest positive correlation compared with crude oil and the USD, while BTC and the USD have a dynamic and negative correlation. More importantly, the ANN-DCC-GARCH model had a cumulative return of 318% before the outbreak of the COVID-19 pandemic and can decrease loss by 50% during the COVID-19 pandemic. Moreover, the risk-averse can turn a loss into a profit of about 20% in 2022.Originality/valueThe empirical analysis provides technical support and decision-making reference for investors and financial institutions to make investment decisions on BTC.

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“…(2022), Sarkodie et al . (2022) and Liu et al . (2023), which demonstrate the notable influence of the COVID-19 pandemic on BTC's price fluctuations and volatility.…”

Section: Literature Reviewmentioning

confidence: 97%