Open AccessGold and Government Bonds as Safe-Haven Assets Against Stock Market Turbulence in China
Author(s) -
Wei Huang,
Meng-Shiuh Chang
Publication year - 2021
Publication title -
sage open
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.357
H-Index - 32
ISSN - 2158-2440
DOI - 10.1177/2158244021990655
Subject(s) - safe haven , bond , stock exchange , haven , financial economics , economics , stock (firearms) , china , government bond , composite index , business , monetary economics , finance , political science , engineering , mathematics , mechanical engineering , combinatorics , law
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.