Can gold hedge the risk of fear sentiments?
This paper investigates the interaction between fear sentiments and gold price (GP) by utilising the full-sample and sub-sample rolling-window bootstrap causality tests. It can be observed that GP can hedge the risk of fear sentiments in a certain period. The result supports the inter-temporal capi...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2022-12-01
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| Series: | Technological and Economic Development of Economy |
| Subjects: | |
| Online Access: | https://journals.vilniustech.lt/index.php/TEDE/article/view/17302 |
| _version_ | 1811184145739546624 |
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| author | Chi-Wei Su Yiru Liu Tsangyao Chang Muhammad Umar |
| author_facet | Chi-Wei Su Yiru Liu Tsangyao Chang Muhammad Umar |
| author_sort | Chi-Wei Su |
| collection | DOAJ |
| description |
This paper investigates the interaction between fear sentiments and gold price (GP) by utilising the full-sample and sub-sample rolling-window bootstrap causality tests. It can be observed that GP can hedge the risk of fear sentiments in a certain period. The result supports the inter-temporal capital asset pricing model, which demonstrates that the increase in fear sentiments can promote the rise in gold prices. Due to excessive panic, fear sentiments also have negative effects on GP. In contrast, GP positively impacts fear sentiments, which manifests that market sentiment can be forecasted based on changes in the gold market. In addition, the negative influences from GP to fear sentiments indicate there are diversified assets that can be alternatives to gold. In the complicated international environment and volatile market sentiments, investors can benefit by optimising their asset portfolio. The governments can mitigate the adverse effects of large fluctuations in both markets by grasping the movement of gold and fear sentiments.
First published online 16 December 2022
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| first_indexed | 2024-04-11T13:08:18Z |
| format | Article |
| id | doaj.art-74229a0a04da40dfbdafac9e967a66c0 |
| institution | Directory Open Access Journal |
| issn | 2029-4913 2029-4921 |
| language | English |
| last_indexed | 2024-04-11T13:08:18Z |
| publishDate | 2022-12-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Technological and Economic Development of Economy |
| spelling | doaj.art-74229a0a04da40dfbdafac9e967a66c02022-12-22T04:22:39ZengVilnius Gediminas Technical UniversityTechnological and Economic Development of Economy2029-49132029-49212022-12-0110.3846/tede.2022.17302Can gold hedge the risk of fear sentiments?Chi-Wei Su0Yiru Liu1Tsangyao Chang2Muhammad Umar3School of Economics, Qingdao University, Qingdao, Shandong, China; Faculty of Economics and Business Administration, West University of Timisoara, Timisoara, RomaniaSchool of Economics, Qingdao University, Qingdao, Shandong, ChinaDepartment of Finance, Feng Chia University, Taichung, TaiwanSchool of Economics, Qingdao University, Qingdao, Shandong, China; Adnan Kassar School of Business, Lebanese American University, Chouran, Beirut, Lebanon This paper investigates the interaction between fear sentiments and gold price (GP) by utilising the full-sample and sub-sample rolling-window bootstrap causality tests. It can be observed that GP can hedge the risk of fear sentiments in a certain period. The result supports the inter-temporal capital asset pricing model, which demonstrates that the increase in fear sentiments can promote the rise in gold prices. Due to excessive panic, fear sentiments also have negative effects on GP. In contrast, GP positively impacts fear sentiments, which manifests that market sentiment can be forecasted based on changes in the gold market. In addition, the negative influences from GP to fear sentiments indicate there are diversified assets that can be alternatives to gold. In the complicated international environment and volatile market sentiments, investors can benefit by optimising their asset portfolio. The governments can mitigate the adverse effects of large fluctuations in both markets by grasping the movement of gold and fear sentiments. First published online 16 December 2022 https://journals.vilniustech.lt/index.php/TEDE/article/view/17302gold priceVIXtime-varyingcausal relationship |
| spellingShingle | Chi-Wei Su Yiru Liu Tsangyao Chang Muhammad Umar Can gold hedge the risk of fear sentiments? Technological and Economic Development of Economy gold price VIX time-varying causal relationship |
| title | Can gold hedge the risk of fear sentiments? |
| title_full | Can gold hedge the risk of fear sentiments? |
| title_fullStr | Can gold hedge the risk of fear sentiments? |
| title_full_unstemmed | Can gold hedge the risk of fear sentiments? |
| title_short | Can gold hedge the risk of fear sentiments? |
| title_sort | can gold hedge the risk of fear sentiments |
| topic | gold price VIX time-varying causal relationship |
| url | https://journals.vilniustech.lt/index.php/TEDE/article/view/17302 |
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