قیمت های جهانی طلا و بازده سهام در چین: بینش برای پوشش ریسک و استراتژی های تنوع بخشی

This article uses the VAR–GARCH framework of Ling and McAleer (2003) to explore both return and volatility spillovers between world gold prices and stock market in China over the period from March 22, 2004 through March 31, 2011. It further analyzes the optimal weights and hedge ratios for dedicated gold-stock portfolio holdings and show how empirical results can be used to build effective diversification and hedging strategies. Several competing multivariate volatility models which are commonly-used in the finance literature (CCC–GARCH, DCC–GARCH, diagonal BEKK–GARCH, scalar BEKK–GARCH, and full-BEKK–GARCH) are also considered for comparison purpose. Our results show evidence of significant return and volatility cross effects between gold prices and stock prices in China, as well as the superiority of the VAR-GARCH model over the other multivariate GARCH specifications. In particular, past gold returns play a crucial role in explaining the dynamics of conditional return and volatility of Chinese stock market and should thus be accounted for when forecasting future stock returns. Our portfolio analysis suggests that adding gold to a portfolio of Chinese stocks improves its risk-adjusted return and helps to effectively hedge against stock risk exposure over time. Finally, when considering the period of the recent global financial crisis, we find that the gold asset serves as a safe haven for stocks in the Chinese stock markets.