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

Zhu, Xuemei; Niu, Zibo; Zhang, Hongwei; Huang, Jiaxin; Zuo, Xuguang

doi:10.1016/j.resourpol.2022.103098

Cited by 16 publications

(10 citation statements)

References 101 publications

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“…The result of the bootstrap full-sample approach is shown in Table 2, the statistics and p-values suggest that GSCP is not a Granger cause of BP, and vice versa. This conclusion is inconsonant with the existing literature (Matkovskyy et al, 2020;Su et al, 2020bSu et al, , 2020cQin et al, 2022a;Umar et al, 2021;Zhu et al, 2022;Yang et al, 2022), and the supposition of the ICAPM that states GSCP exerts positive influences on BP. The above bootstrap full-sample method supposes the parameters are constant, and just a Granger causal relation could be obtained throughout the whole sample period (Balcilar & Ozdemir, 2013).…”

Section: Empirical Results and Discussioncontrasting

confidence: 86%

“…Wang et al (2021) prove that bitcoin has a good property of hedging stock markets' risks, but investors ought to take its high volatility into account while investing in the international bitcoin market. Zhu et al (2022) underline that the hedging ability of bitcoin against Corona Virus Disease 2019 (COVID-19)-related news sentiment risks is primarily reflected in the short-run scenario, but Yang et al (2022) demonstrate that bitcoin provides better hedging capability in the long term.…”

Section: Literature Reviewmentioning

confidence: 99%

“…On January 5, 2009, bitcoin, which is not controlled by any financial institution, was officially born, and it has entered the public view as a new concept of digital currency (Elwell et al, 2013). After that, bitcoin has presented an outstanding performance, not only with high returns, but also as a hedge or safe haven which is similar to gold, thus bitcoin is also known as "digital gold" (Bouri & Gupta, 2019;Su et al, 2020d;Chkili et al, 2021;Yang et al, 2022;Zhu et al, 2022). As the economic globalisation becomes an irreversible trend (Blanton & Apodaca, 2007), the global supply chain is evolving correspondingly (Ekinci et al, 2022;Feng et al, 2022).…”

Section: Introductionmentioning

confidence: 99%

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Could “Digital Gold” Resist Global Supply Chain Pressure?

Qin

Wang

et al. 2023

Technological and Economic Development of Economy

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Exploring the safe-haven characteristics of bitcoin from novel perspectives is crucial to diversify the investment and reap the benefits. This investigation employs bootstrap full-and sub-sample techniques to probe time-varying interrelation between global supply chain pressure (GSCP) and bitcoin price (BP), and further answer if “digital gold” could resist the strains of global supply chain. The empirical outcomes suggest that GSCP positively and negatively affects BP. The positive influence points out that high GSCP might boost the international bitcoin market, driving BP to rise, which indicates that “digital gold” could resist the pressures of global supply chain. But the negative effect of GSCP on BP could not support the above view, mainly affected by the weak purchasing power and more valuable assets, which is not consistent with the assumption of the inter-temporal capital asset pricing model (ICAPM). In turn, GSCP is adversely affected by BP, highlighting that the international bitcoin market may be viewed as a stress reliever for the global supply chain. Against a backdrop of the deteriorative Russia-Ukraine war and the intensifying global supply chain crisis, the above conclusions could bring significative lessons to the public, enterprises and related economies.

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Section: Empirical Results and Discussioncontrasting

confidence: 86%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Could “Digital Gold” Resist Global Supply Chain Pressure?

Qin

Wang

et al. 2023

Technological and Economic Development of Economy

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“…In light of previous facts, examining the role of commodities in investors’ portfolios during this recent period has turned even more critical, There is substantial empirical evidence that analyses the role of commodities in protecting investors during highly detrimental fluctuations in the stock market caused by COVID-19 pandemic (Ftiti and Hadhri, 2019; Riahi et al ., 2024; Maitra et al ., 2022; Tarchella et al ., 2024; Zhu et al ., 2022; Yousfi et al ., 2023 and among others). Others focus on The Russia–Ukraine war (Ghorbali et al ., 2023; Ustaoglu, 2023; Karkowska and Urjasz, 2023; Adekoya et al ., 2022 and among others).…”

Section: Introductionmentioning

confidence: 99%

Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine war

Said,

Ouerfelli

2024

JRF

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PurposeThis paper aims to examine the dynamic conditional correlation (DCC) and hedging ratios between Dow Jones markets and oil, gold and bitcoin. Using daily data, including the COVID-19 pandemic and the Russia–Ukraine war. We employ the DCC-generalized autoregressive conditional heteroskedasticity (GARCH) and asymmetric DCC (ADCC)-GARCH models.Design/methodology/approachDCC-GARCH and ADCC-GARCH models.FindingsThe most of DCCs among market pairs are positive during COVID-19 period, implying the existence of volatility spillovers (Contagion-effects). This implies the lack of additional economic gains of diversification. So, COVID-19 represents a systematic risk that resists diversification. However, during the Russia–Ukraine war the DCCs are negative for most pairs that include Oil and Gold, implying investors may benefit from portfolio-diversification. Our hedging analysis carries significant implications for investors seeking higher returns while hedging their Dow Jones portfolios: keeping their portfolios unhedged is better than hedging them. This is because Islamic stocks have the ability to mitigate risks.Originality/valueOur paper may make a valuable contribution to the existing literature by examining the hedging of financial assets, including both conventional and Islamic assets, during periods of stability and crisis, such as the COVID-19 pandemic and the Russia–Ukraine war.

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“…Bitcoin, as an essential asset for portfolio diversification, has attracted increasing attention from investors all over the world due to its volatility persistence, possible hedging properties (18,19), and potential safe-haven capabilities (20)(21)(22). During the COVID-19 pandemic, lockdowns and social distancing measures have disrupted traditional in-person goods and services (23), driving investors to demand more digital goods and digital finance (24)(25)(26).…”

mentioning

confidence: 99%

The COVID-19 pandemic and Bitcoin: Perspective from investor attention

Wan

Zhu

2023

Front. Public Health

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The response of the Bitcoin market to the novel coronavirus (COVID-19) pandemic is an example of how a global public health crisis can cause drastic market adjustments or even a market crash. Investor attention on the COVID-19 pandemic is likely to play an important role in this response. Focusing on the Bitcoin futures market, this paper aims to investigate whether pandemic attention can explain and forecast the returns and volatility of Bitcoin futures. Using the daily Google search volume index for the “coronavirus” keyword from January 2020 to February 2022 to represent pandemic attention, this paper implements the Granger causality test, Vector Autoregression (VAR) analysis, and several linear effects analyses. The findings suggest that pandemic attention is a granger cause of Bitcoin returns and volatility. It appears that an increase in pandemic attention results in lower returns and excessive volatility in the Bitcoin futures market, even after taking into account the interactive effects and the influence of controlling other financial markets. In addition, this paper carries out the out-of-sample forecasts and finds that the predictive models with pandemic attention do improve the out-of-sample forecast performance, which is enhanced in the prediction of Bitcoin returns while diminished in the prediction of Bitcoin volatility as the forecast horizon is extended. Finally, the predictive models including pandemic attention can generate significant economic benefits by constructing portfolios among Bitcoin futures and risk-free assets. All the results demonstrate that pandemic attention plays an important and non-negligible role in the Bitcoin futures market. This paper can provide enlightens for subsequent research on Bitcoin based on investor attention sparked by public emergencies.

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

Cited by 16 publications

References 101 publications

Could “Digital Gold” Resist Global Supply Chain Pressure?

Could “Digital Gold” Resist Global Supply Chain Pressure?

Downside risk in Dow Jones equity markets: hedging and portfolio management during COVID-19 pandemic and the Russia–Ukraine war

The COVID-19 pandemic and Bitcoin: Perspective from investor attention

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