黄金和比特币能否对冲与新冠疫情相关的新闻情绪风险？来自非对称自回归分布滞后模型方法的新证据。
Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach.
作者信息
Zhu Xuehong, Niu Zibo, Zhang Hongwei, Huang Jiaxin, Zuo Xuguang
机构信息
School of Business, Central South University, Changsha, 410083, China.
Institute of Metal Resources Strategy, Central South University, Changsha, 410083, China.
出版信息
Resour Policy. 2022 Dec;79:103098. doi: 10.1016/j.resourpol.2022.103098. Epub 2022 Oct 31.
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.
新冠疫情引发了广泛的新闻报道，导致投资者情绪波动，进而加剧了金融市场价格的波动性。人们越来越需要找到一种应对情绪风险的对冲工具。本文在非线性自回归分布滞后（NARDL）模型下，考察了黄金和比特币对新冠疫情相关新闻情绪（CNS）风险的对冲能力。我们的实证结果表明，短期内CNS对黄金价格存在明显的不对称效应，与新冠疫情相关的新闻指数下降对黄金价格的影响要大于其上升时的影响。CNS在长期和短期内对比特币价格的影响都是不对称的，尤其是在长期。此外，我们得出结论，黄金在长期内是CNS风险的对冲工具，而比特币的对冲作用主要体现在短期内。
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