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
  • [41] COVID-19 pandemic improves market signals of cryptocurrencies-evidence from Bitcoin, Bitcoin Cash, Ethereum, and Litecoin
    Sarkodie, Samuel Asumadu
    Ahmed, Maruf Yakubu
    Owusu, Phebe Asantewaa
    FINANCE RESEARCH LETTERS, 2022, 44
  • [42] Global financial crisis versus COVID-19: Evidence from sentiment analysis
    Maghyereh, Aktham
    Abdoh, Hussein
    INTERNATIONAL FINANCE, 2022, 25 (02) : 218 - 248
  • [43] The Analysis of the Roles of Bitcoin, Ethereum, and Gold as Hedge and Safe-Haven Assets on the Indonesian Stock Market before and during the COVID-19 Pandemic
    Wijaya, Carla A.
    Ulpah, Maria
    INDONESIAN CAPITAL MARKET REVIEW, 2022, 14 (01) : 51 - 62
  • [44] Infection rate models for COVID-19: Model risk and public health news sentiment exposure adjustments
    Chalkiadakis, Ioannis
    Yan, Hongxuan
    Peters, Gareth W.
    Shevchenko, Pavel, V
    PLOS ONE, 2021, 16 (06):
  • [45] Comparing News Articles and Tweets About COVID-19 in Brazil: Sentiment Analysis and Topic Modeling Approach
    de Melo, Tiago
    Figueiredo, Carlos M. S.
    JMIR PUBLIC HEALTH AND SURVEILLANCE, 2021, 7 (02):
  • [46] Does Shariah index hedge against sentiment risk? Evidence from Indian stock market using time-frequency domain approach
    Dash, Saumya Ranjan
    Maitra, Debasish
    JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE, 2018, 19 : 20 - 35
  • [47] Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach
    Kumar, Anoop S.
    Padakandla, Steven Raj
    FINANCE RESEARCH LETTERS, 2022, 47
  • [48] Are Cryptocurrencies a Backstop for the Stock Market in a COVID-19-Led Financial Crisis? Evidence from the NARDL Approach
    Jeribi, Ahmed
    Jena, Sangram Keshari
    Lahiani, Amine
    INTERNATIONAL JOURNAL OF FINANCIAL STUDIES, 2021, 9 (03):
  • [49] Political risk and financial development in Nigeria: Can credit buy social peace? Evidence from NARDL approach
    Nakhli, Mohamed Sahbi
    Gaies, Brahim
    QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2021, 82 : 55 - 62
  • [50] Can gold hedge against oil price movements: Evidence from GARCH-EVT wavelet modeling
    Wang, Xinya
    Lucey, Brian
    Huang, Shupei
    JOURNAL OF COMMODITY MARKETS, 2022, 27
12345