By Ke Chen
IJFS, Vol. 5, Pages 18: Does Gold Act as a Hedge and a Safe Haven for China’s Stock Market?
International Journal of Financial Studies doi: 10.3390/ijfs5030018
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 …read more