Thampanya Natthinee, Nasir Muhammad Ali, Huynh Toan Luu Duc
Faculty of Business, Economics and Communications, Naresuan University, Thailand.
Leeds Business School, Leeds Beckett University, United Kingdom.
Technol Forecast Soc Change. 2020 Oct;159:120195. doi: 10.1016/j.techfore.2020.120195. Epub 2020 Jul 16.
This paper examines the long-run and short-run asymmetric effects of gold and cryptocurrency returns on the Thai stock market. Employing daily data on gold prices from 2000 to 2019 and on cryptocurrency (Bitcoin) from 2013 to 2019 in a linear and non-linear Autoregressive Distributed Lag (ARDL) framework, we investigate and contrast the hedging effectiveness of gold and bitcoins for equities. This study also evaluates whether hedging potential of gold or cryptocurrency remains equally strong in bearish and bullish conditions of the stock market. Our key findings on stock and gold returns reveal that the effects of gold on the stock market are asymmetric in most of the cases. Negative asymmetry is more likely to occur regardless of stock market conditions. On the other hand, there is very limited evidence showing the meaningful effect of cryptocurrency. The robustness of the ARDL bounds test of co-integration provides evidence for a strong long-run relationship in all cases. Contrary to the existing literature, our results suggest that neither gold nor cryptocurrency acts as a good instrument for hedging in the stock market. Correlations between stock/gold and stock/cryptocurrency pairs are found to be positive in most cases. Our findings imply that adding gold or cryptocurrency to a stock portfolio does not enhance its risk-adjusted return.
本文考察了黄金和加密货币回报对泰国股票市场的长期和短期非对称效应。我们采用2000年至2019年的黄金价格以及2013年至2019年的加密货币（比特币）每日数据，在一个线性和非线性自回归分布滞后（ARDL）框架内，研究并对比了黄金和比特币对股票的套期保值有效性。本研究还评估了在股票市场的熊市和牛市条件下，黄金或加密货币的套期保值潜力是否同样强劲。我们关于股票和黄金回报的主要发现表明，在大多数情况下，黄金对股票市场的影响是非对称的。无论股票市场状况如何，负向非对称更有可能出现。另一方面，几乎没有证据表明加密货币有显著影响。协整的ARDL边界检验的稳健性为所有情况下的强长期关系提供了证据。与现有文献相反，我们的结果表明，黄金和加密货币都不是股票市场套期保值的良好工具。在大多数情况下，股票/黄金和股票/加密货币对之间的相关性为正。我们的研究结果意味着，将黄金或加密货币添加到股票投资组合中并不会提高其风险调整后的回报。
