A revisit to the hedge and safe haven properties of gold: New evidence from China

Lei Ming, Xinran Zhang, Qianqiu Liu and Shenggang Yang

Journal of Futures Markets, 2020, vol. 40, issue 9, 1442-1456

Abstract: We examine the role of gold as a hedge and safe haven from the perspective of Chinese investors. Using the Shanghai Futures Exchange (SHFE)‐Gold futures prices and the CSI 300 index from 2008 to 2017, we find that gold is not a hedge against the Chinese stock market on average. However, gold acts as a safe haven when market returns are below their 1%, 5%, and 10% quantiles and during the two crash periods. Our findings apply to most of the industry sectors as well. We also show that the role of gold can change drastically due to some market policy reforms.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
https://doi.org/10.1002/fut.22124

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:40:y:2020:i:9:p:1442-1456

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().