Gold and Government Bonds as Safe-Haven Assets Against Stock Market Turbulence in China

Wei Huang and Meng-Shiuh Chang

SAGE Open, 2021, vol. 11, issue 1, 2158244021990655

Abstract: We examine whether gold and China’s government bonds are safe-haven assets against the turbulence of the Shanghai Stock Exchange Composite Index by employing vine copula models during the 2003 to 2015 period. We find that either bonds or gold can be a weak safe haven but only gold can be a strong safe haven. Our simultaneous analysis advises against a joint safe-haven strategy of gold and bonds, given the high- to low-tail correlation. This result highlights an investment strategy of using a single safe-haven asset against the Chinese stock market turbulences.

Keywords: safe haven; gold; government bonds; asymmetric vine copula (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:sae:sagope:v:11:y:2021:i:1:p:2158244021990655

DOI: 10.1177/2158244021990655

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