Does Gold Act as a Hedge and a Safe Haven for China’s Stock Market?
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DOI: 10.3390/IJFS5030018
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摘要: This paper examines the dynamic relationships between gold and stock markets in China. Using daily indexes data, we estimated DCC-GARCH model for five bear since 31 October 2002, simultaneously used different segments of China’s analysis. Our main objective was to examine time-varying correlations check effectiveness as a hedge or safe haven stocks. Results showed that: (1) conditional switched positive negative values over periods under study; (2) due increasing investment demand gold, hedging effect on market has strengthened remarkably. Gold acts only latest two analyzed (12 June 2015–26 August 2015 22 December 2015–29 February 2016); (3) non-bear markets, does not offer good risk hedging.
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