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
收藏
页数：12
相关论文
共 50 条
  • [21] Do cryptocurrencies hedge against EPU and the equity market volatility during COVID-19?-New evidence from quantile coherency analysis
    Jiang, Yonghong
    Wu, Lanxin
    Tian, Gengyu
    Nie, He
    JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2021, 72
  • [22] Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold
    Chkili, Walid
    Ben Rejeb, Aymen
    Arfaoui, Mongi
    RESOURCES POLICY, 2021, 74
  • [23] Capture the contagion network of bitcoin - Evidence from pre and mid COVID-19
    Guo, Xiaochun
    Lu, Fengbin
    Wei, Yunjie
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2021, 58
  • [24] The Impact of News Related Covid-19 on Exchange Rate Volatility: A New Evidence From Generalized Autoregressive Score Model
    Ezer, Deniz
    EKOIST-JOURNAL OF ECONOMETRICS AND STATISTICS, 2023, (38): : 105 - 126
  • [25] Economic Sentiment and the Covid-19 Crisis: Evidence from European Countries
    Zervoyianni, Athina
    Dimelis, Sophia
    Livada, Alexandra
    APPLIED ECONOMICS, 2023, 55 (01) : 113 - 130
  • [26] Gold as a hedge against oil shocks: Evidence from new datasets for oil shocks
    Salisu, Afees A.
    Adediran, Idris
    RESOURCES POLICY, 2020, 66 (66)
  • [27] Investigating COVID-19 News Across Four Nations: A Topic Modeling and Sentiment Analysis Approach
    Ghasiya, Piyush
    Okamura, Koji
    IEEE ACCESS, 2021, 9 : 36645 - 36656
  • [28] Evaluating the Efficiency of Financial Assets as Hedges against Bitcoin Risk during the COVID-19 Pandemic
    Wei, Li
    Lee, Ming-Chih
    Cheng, Wan-Hsiu
    Tang, Chia-Hsien
    You, Jing-Wun
    MATHEMATICS, 2023, 11 (13)
  • [29] Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic
    Benlagha, Noureddine
    El Omari, Salaheddine
    FINANCE RESEARCH LETTERS, 2022, 46
  • [30] Is gold favourable than bitcoin during the COVID-19 outbreak? Comparative analysis through wavelet approach
    Shehzad, Khurram
    Bilgili, Faik
    Zaman, Umer
    Kocak, Emrah
    Kuskaya, Sevda
    RESOURCES POLICY, 2021, 73
12345