黄金能对冲恐惧情绪的风险吗?

IF 4.8 2区经济学 Q1 ECONOMICS

Technological and Economic Development of Economy Pub Date : 2022-12-16 DOI:10.3846/tede.2022.17302

Chiwei Su, Yiru Liu, T. Chang, Muhammad Umar

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引用次数: 4

摘要

本文利用全样本和子样本滚动窗自举因果检验，研究了恐惧情绪与黄金价格之间的相互作用。可以看出，GP在一定时期内可以对冲恐惧情绪的风险。研究结果支持跨期资本资产定价模型，表明恐惧情绪的增加可以促进黄金价格的上涨。由于过度恐慌，恐惧情绪也会对GP产生负面影响。相比之下，GP对恐惧情绪的影响是正向的，这表明市场情绪可以通过黄金市场的变化来预测。此外，GP对恐惧情绪的负面影响表明，有多种资产可以替代黄金。在复杂的国际环境和波动的市场情绪下，投资者可以通过优化资产组合来获利。政府可以通过把握黄金的走势和恐惧情绪来减轻这两个市场大幅波动的不利影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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 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.

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来源期刊

Technological and Economic Development of Economy ECONOMICS-

CiteScore

10.00

自引率

8.50%

发文量

审稿时长

15 weeks

期刊介绍： Technological and Economic Development of Economy is a refereed journal that publishes original research and review articles and book reviews. The Journal is designed for publishing articles in the following fields of research: systems for sustainable development, policy on sustainable development, legislation on sustainable development, strategies, approaches and methods for sustainable development, visions and scenarios for the future, education for sustainable development, institutional change and sustainable development, health care and sustainable development, alternative economic paradigms for sustainable development, partnership in the field of sustainable development, industry and sustainable development, sustainable development challenges to business and management, technological changes and sustainable development, social aspects of sustainability, economic dimensions of sustainability, political dimensions of sustainability, innovations, life cycle design and assessment, ethics and sustainability, sustainable design and material selection, assessment of environmental impact, ecology and sustainability, application case studies, best practices, decision making theory, models of operations research, theory and practice of operations research, statistics, optimization, simulation. All papers to be published in Technological and Economic Development of Economy are peer reviewed by two appointed experts. The Journal is published quarterly, in March, June, September and December.