| Since 2000 our stock market has experienced the ups and downs of the bull market and the bear market.Meanwhile,China's exchange rate market has undergone two important reforms.The shock of the stock market and the reform of the exchange rate system have led to violent fluctuations in China's stock market and exchange rate market,The international gold price has also risen in recent years,The price has rosed to a historic peak of $1921.15 in 2011,nearly quadrupling the price of $425 in 2005.Later gold prices have fallen but remain highScholars both at domestic and abroad have some differences in the existence of a stable safe haven for gold..According to Baur,under normal conditions,the rate of return on an asset is negatively related or unrelated to other assets,and the asset is a safe haven for other assets.Therefore,through the analysis of the correlation between gold and China's stock and exchange rate market returns,we will explore whether gold has the ability to hedge China's stock and exchange rate market risks.This has certain theoretical and practical significance for the prevention of China's financial market risk and the elaboration of China's financial market integration.To analyze the changing characteristics of gold hedging ability during the shock period in China's stock market and exchange rate market,This article is from two perspectives,static and dynamic,and based on Multiple theoretical models such as cointegration test,Granger causality test,DCC-GARCH,examined the linkage and correlation between gold,stock index and exchange rate during the period from July 21,2005 to September 1,2017.The empirical results shows that during China's stock market volatility and the reform of exchange rate market,The hedging ability of gold hedging against the risk of stock market and exchange rate market in China has been improved,But overall,gold does not fully have the ability to hedge the risk of China's stock market and exchange rate markets. |
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