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

Yongjie Zhang, Meng Wang, Xiong Xiong and Gaofeng Zou

Finance Research Letters, 2021, vol. 40, issue C

Abstract: 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.

Keywords: Gold; Financial markets; Hedge; Portfolio optimization (search for similar items in EconPapers)
JEL-codes: C58 G10 G11 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320316007

DOI: 10.1016/j.frl.2020.101786

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