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

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  • Peng, Xiaofan

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.

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  • Peng, Xiaofan, 2020. "Do precious metals act as hedges or safe havens for China's financial markets?," Finance Research Letters, Elsevier, vol. 37(C).
    • Handle: RePEc:eee:finlet:v:37:y:2020:i:c:s1544612318309462
    DOI: 10.1016/j.frl.2019.101353
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    20. Guannan Wang & Juan Meng & Bin Mo, 2023. "Dynamic Volatility Spillover Effects and Portfolio Strategies among Crude Oil, Gold, and Chinese Electricity Companies," Mathematics, MDPI, vol. 11(4), pages 1-25, February.
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    More about this item

    Keywords

    Financial markets; Hedge; Precious metals; Safe haven; Trade war;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F10 - International Economics - - Trade - - - General

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