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A revisit to the hedge and safe haven properties of gold: New evidence from China
Author(s) -
Ming Lei,
Zhang Xinran,
Liu Qianqiu,
Yang Shenggang
Publication year - 2020
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22124
Subject(s) - safe haven , hedge , futures contract , gold as an investment , economics , futures market , china , financial economics , stock market , index (typography) , haven , stock (firearms) , stock market crash , crash , monetary economics , mechanical engineering , ecology , paleontology , mathematics , horse , combinatorics , world wide web , political science , computer science , law , biology , engineering , programming language
We examine the role of gold as a hedge and safe haven from the perspective of Chinese investors. Using the Shanghai Futures Exchange (SHFE)‐Gold futures prices and the CSI 300 index from 2008 to 2017, we find that gold is not a hedge against the Chinese stock market on average. However, gold acts as a safe haven when market returns are below their 1%, 5%, and 10% quantiles and during the two crash periods. Our findings apply to most of the industry sectors as well. We also show that the role of gold can change drastically due to some market policy reforms.