Does gold act as a hedge and a safe haven for China's stock market?

Artikel

This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments of China's stock markets for analysis. Our main objective was to examine the time-varying correlations between gold and stock and to check the effectiveness of gold as a hedge or a safe haven for stocks. Results showed that: (1) the dynamic conditional correlations switched between positive and negative values over the periods under study; (2) due to the increasing investment demand of gold, the hedging effect of gold on China's stock market has strengthened remarkably. Gold acts as a safe haven for only the latest two of the five bear markets analyzed (12 June 2015-26 August 2015 and 22 December 2015-29 February 2016); and (3) for non-bear markets, gold does not offer good risk hedging.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 5 ; Year: 2017 ; Issue: 3 ; Pages: 1-18 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Portfolio Choice; Investment Decisions ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets
• Thema: gold ; bear markets ; correlation ; safe haven ; hedge

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Chen, Ke ; Wang, Meng
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2017

Weitere Informationen

• DOI: doi:10.3390/ijfs5030018
• Handle: http://hdl.handle.net/10419/195652
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ