In fact, it is neither, or perhaps I should say it is both. The Chinese character for the animal, 羊, pronounced “yáng” in Mandarin, actually refers to the subfamily of mammals that includes both the goat and the sheep. A sheep in Chinese is specifically a 綿羊 (miányáng), or “wooly sheep/goat”, and a goat is a 山羊 (shānyáng) or “mountain sheep/goat”.
There isn’t an equivalent English word in common usage. English speakers would think of the two as distinct animals and use the separate words. A rather obscure term would be “caprid”, which refers to animals of the subfamily Caprinae – Capricorn comes from the same Latin root. However, chances are most English speakers wouldn’t know what was meant by a caprid.
That just leaves me to wish all readers a Happy Year of the Caprid!
For more detail see this interesting article which also explains why it is definitely “sheep” in Japanese and “goat” in Vietnamese.