Does Gold Act as a Hedge and a Safe Haven for China’s Stock Market?

International Journal of Financial Studies

Meng Wang¹  Ke Chen¹ 

[1] School of Finance and Statistics, Hunan University, Changsha, Hunan 410079, China;

关键词: gold;    bear markets;    correlation;    safe haven;    hedge;   

DOI  :  10.3390/ijfs5030018

来源: DOAJ

【 摘 要 】

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.

【 授权许可】

Unknown