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

【Author】 Zhu, Xuehong; Niu, Zibo; Zhang, Hongwei; Huang, Jiaxin; Zuo, Xuguang

【Source】RESOURCES POLICY

【影响因子】8.222

【Abstract】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.

【Keywords】Gold; Bitcoin; NARDL model; COVID-19 news; Hedge

【发表时间】2022 DEC

【收录时间】2023-03-01

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析