Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195652 
Year of Publication: 
2017
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Volume:] 5 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2017 [Pages:] 1-18
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
gold
bear markets
correlation
safe haven
hedge
JEL: 
G10
G11
G14
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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