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Do precious metals act as hedges or safe havens for China's financial markets?

Xiaofan Peng

Finance Research Letters, 2020, vol. 37, issue C

Abstract: This study examines the hedge and safe haven properties of precious metals on China's financial markets, including stock, bond, commodity futures (CF), and foreign exchange (FX) markets. Using the DCC-GARCH models, the study shows that precious metals are strong hedges for the bond market and diversifiers for other financial markets. Furthermore, precious metals can serve as safe haven in the event of market turmoil, but this safe haven feature may change with the markets’ volatility. Finally, the safe haven behaviors of precious metals differ during financial crisis.

Keywords: Financial markets; Hedge; Precious metals; Safe haven; Trade war (search for similar items in EconPapers)
JEL-codes: F10 G10 G11 G15 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:37:y:2020:i:c:s1544612318309462

DOI: 10.1016/j.frl.2019.101353

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