Volatility spillovers between stock, bond, oil, and gold with portfolio implications: Evidence from China

被引：42

作者：

Zhang, Yongjie ^{[1
]}

Wang, Meng ^{[1
]}

Xiong, Xiong ^{[1
]}

Zou, Gaofeng ^{[1
]}

机构：

[1] Tianjin Univ, Coll Management & Econ, China 92 Weijin Rd, Tianjin, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2021年 / 40卷

基金：

中国国家自然科学基金;

关键词：

Gold; Financial markets; Hedge; Portfolio optimization; SAFE HAVEN; TIME-SERIES; MARKETS; HEDGE; COMMODITY; INVESTMENT; WORLD;

D O I：

10.1016/j.frl.2020.101786

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper uses multivariate VAR-CCC-GARCH and VAR-DCC-GARCH models to examine volatility spillovers among gold spots, gold futures, stock, bond, and oil from January 9, 2008 to January 4, 2019. Our finding suggests that due to weak correlations with Chinese stock, Chinese bond, and international crude oil, Chinese gold spots and futures cannot play the hedge role. This contradicts previous findings on the hedging role of gold. However, gold is suitable for portfolio diversification and helps reduce portfolio risk.

引用

页数：10

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