Ren Lin, Sun Yingyue, Xiong Deping, Wei Yu
School of Finance, Yunnan University of Finance and Economics, Kunming, China.
Eval Rev. 2025 Aug;49(4):739-772. doi: 10.1177/0193841X251317024. Epub 2025 Jan 27.
Gold and stocks, which are conventionally regarded as a safe haven and risk assets, respectively, exhibit complex interrelationships, with significant implications for financial risk management. This paper builds on the sentiment categorization proposed by Liang et al. (2020) to distinguish between private and public sector sentiment. The construction of sentiment indices for both sectors aims to allow the exploration of the heterogeneous effects of these sector-specific sentiments on the gold-stock market linkages in China under different market conditions. The empirical results demonstrate a notable asymmetry in the impact of market sentiment between the public and private sectors, with distinct manifestations in stable versus highly volatile market environments. Specifically, positive sentiment in the public sector tends to diminish the safe-haven function of gold, whereas positive sentiment in the private sector tends to reinforce it. This disparity becomes particularly evident during periods of extreme market volatility. Our findings not only underscore the diverse impacts of market sentiment but also provide novel insights into the importance of incorporating sector-specific sentiment when devising hedging strategies for specific industries.
黄金和股票，传统上分别被视为避险资产和风险资产，它们呈现出复杂的相互关系，对金融风险管理具有重大影响。本文基于Liang等人（2020年）提出的情绪分类方法，区分了私营部门和公共部门的情绪。构建这两个部门的情绪指数旨在探究在不同市场条件下，这些特定部门情绪对中国黄金-股票市场联动关系的异质性影响。实证结果表明，公共部门和私营部门的市场情绪影响存在显著不对称，在稳定与高度波动的市场环境中有不同表现。具体而言，公共部门的积极情绪往往会削弱黄金的避险功能，而私营部门的积极情绪则往往会强化这一功能。这种差异在市场极端波动时期尤为明显。我们的研究结果不仅强调了市场情绪的多样影响，还为在为特定行业制定套期保值策略时纳入特定部门情绪的重要性提供了新的见解。
