Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach

被引：17

作者：

Zhu, Xuehong ^{[1
,3
]}

Niu, Zibo ^{[1
,3
]}

Zhang, Hongwei ^{[2
,3
]}

Huang, Jiaxin ^{[1
]}

Zuo, Xuguang ^{[1
]}

机构：

[1] Cent South Univ, Sch Business, Changsha 410083, Peoples R China

[2] Cent South Univ, Sch Math & Stat, Changsha 410083, Peoples R China

[3] Cent South Univ, Inst Met Resources Strategy, Changsha 410083, Peoples R China

来源：

RESOURCES POLICY | 2022年 / 79卷

基金：

中国国家自然科学基金;

关键词：

Gold; Bitcoin; NARDL model; COVID-19; news; Hedge; SAFE HAVEN PROPERTIES; NONLINEAR CAUSALITY; STOCK MARKETS; OIL PRICES; CRUDE-OIL; INFLATION; VOLATILITY; EXCHANGE; DETERMINANTS; COMMODITIES;

D O I：

10.1016/j.resourpol.2022.103098

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

The COVID-19 pandemic has led to extensive news coverage, causing investor sentiment to swing, which has further increased financial market price volatility. There is an increasing need to find a hedge against sentiment risk. This paper examines the hedge capabilities of gold and Bitcoin against COVID-19-related news sentiment (CNS) risk under a nonlinear autoregressive distributed lag (NARDL) model. Our empirical results reveal that there is an obvious asymmetric effect from the CNS on gold prices in the short run and that the decrease in the COVID-19-related news index would have a greater impact on gold prices than when it increases. The impact of CNS on Bitcoin prices is asymmetric in the long and short term, especially in the long term. In addition, we conclude that gold is a hedge against CNS risk in the long term, and the hedging effect of Bitcoin is mainly reflected in the short-term.

引用

页数：12

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