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

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 COV...

Descripción completa

Detalles Bibliográficos
Autores principales: Zhu, Xuehong, Niu, Zibo, Zhang, Hongwei, Huang, Jiaxin, Zuo, Xuguang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9618419/
https://www.ncbi.nlm.nih.gov/pubmed/36340700
http://dx.doi.org/10.1016/j.resourpol.2022.103098
_version_ 1784821044751630336
author Zhu, Xuehong
Niu, Zibo
Zhang, Hongwei
Huang, Jiaxin
Zuo, Xuguang
author_facet Zhu, Xuehong
Niu, Zibo
Zhang, Hongwei
Huang, Jiaxin
Zuo, Xuguang
author_sort Zhu, Xuehong
collection PubMed
description 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.
format Online
Article
Text
id pubmed-9618419
institution National Center for Biotechnology Information
language English
publishDate 2022
publisher Elsevier Ltd.
record_format MEDLINE/PubMed
spelling pubmed-96184192022-10-31 Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach Zhu, Xuehong Niu, Zibo Zhang, Hongwei Huang, Jiaxin Zuo, Xuguang Resour Policy Article 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. Elsevier Ltd. 2022-12 2022-10-31 /pmc/articles/PMC9618419/ /pubmed/36340700 http://dx.doi.org/10.1016/j.resourpol.2022.103098 Text en © 2022 Elsevier Ltd. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Zhu, Xuehong
Niu, Zibo
Zhang, Hongwei
Huang, Jiaxin
Zuo, Xuguang
Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach
title Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach
title_full Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach
title_fullStr Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach
title_full_unstemmed Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach
title_short Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach
title_sort can gold and bitcoin hedge against the covid-19 related news sentiment risk? new evidence from a nardl approach
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9618419/
https://www.ncbi.nlm.nih.gov/pubmed/36340700
http://dx.doi.org/10.1016/j.resourpol.2022.103098
work_keys_str_mv AT zhuxuehong cangoldandbitcoinhedgeagainstthecovid19relatednewssentimentrisknewevidencefromanardlapproach
AT niuzibo cangoldandbitcoinhedgeagainstthecovid19relatednewssentimentrisknewevidencefromanardlapproach
AT zhanghongwei cangoldandbitcoinhedgeagainstthecovid19relatednewssentimentrisknewevidencefromanardlapproach
AT huangjiaxin cangoldandbitcoinhedgeagainstthecovid19relatednewssentimentrisknewevidencefromanardlapproach
AT zuoxuguang cangoldandbitcoinhedgeagainstthecovid19relatednewssentimentrisknewevidencefromanardlapproach

Ejemplares similares