Does tracking the infectious diseases impact the gold, oil and US dollar returns and correlation? A quantile regression approach

Abstract

This paper examines whether tracking the infectious diseases affects the oil, gold and dollar returns and their dynamic interlinkages. Using a quantile regression approach, we find that tracking the infectious diseases reduces (maximizes) the oil and gold returns at low (high) quantiles. In contrast, the relationship between tracking the diseases and dollar returns is found to be asymmetric with a positive impact at the lower and the intermediate quantiles. Finally, observing the infectious diseases news tends to induce a negative influence on the low and intermediate quantiles correlations. Yet, this evidence is relatively small with the gold-dollar portfolio. The results provide new insights to the investors for the portfolio diversification while tracking the infectious diseases.