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Asymmetric effect of financial stress on China’s precious metals market: Evidence from a quantile-on-quantile regression

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  • Chen, Jinyu
  • Wang, Yilin
  • Ren, Xiaohang

Abstract

Constructing the China’s financial stress index (CFSI), this paper investigates the asymmetric impact of financial stress on precious metals by employing a novel quantile-on-quantile approach. The results show that precious metals can be used as a safe haven to hedge financial market risks. However, the risk aversion of precious metals varies under different precious metals market conditions. In addition, the structural changes in the effect on precious metals are found after the global financial crisis, reflecting the heterogeneity of the relationship between financial stress and precious metals before and after the global financial crisis. These results have meaningful implications for investors and risk managers.

Suggested Citation

  • Chen, Jinyu & Wang, Yilin & Ren, Xiaohang, 2023. "Asymmetric effect of financial stress on China’s precious metals market: Evidence from a quantile-on-quantile regression," Research in International Business and Finance, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002173
    DOI: 10.1016/j.ribaf.2022.101831
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