| Gold is a precious metal with good physical properties,which has stable intrinsic value and strong liquidity.It is recognized as a stable asset in all countries.The unique attributes of gold form the theoretical basis for the hedging and safe-haven function of gold.Furthermore,due to increasing global geopolitical uncertainty,the central banks around the world have issued the signals of the cut in interest rate and the risk aversion in the market is heating up.Therefore,in the absence of better investment opportunities,gold is regarded as a hedging or safe-haven asset.Besides,the research on the hedging and safe-haven function of gold has become the focus of scholars.Various studies have shown that gold can be regarded as a hedging or safe-haven asset for exchange rate risk,inflation risk,stock market risk,and bond market risk.But the hedging and safe-haven function of gold can vary from time to time and from country to country.Besides,compared with the research on the function of gold in hedging the exchange rate risk and inflation risk,there is less research on that in hedging stock market risk and bond market risk in China.And the question of whether gold can become a hedging or safe-haven asset of China's stock market has not yet reached a conclusion.Therefore,this article takes the stock market and the bond market as the main research objects for the study of the hedging and safe-haven function of gold.In addition,since the global financial crisis,the hedging and safe-haven function of gold has begun to weaken due to various factors,such as the changing economic situation.And the hedging and safe-haven function of gold to the stock market has different in different time frames.Therefore,this article sets the data selection period from 2008 to 2019.Specifically,this article introduces the GPD theory and Copula model to study whether gold can hedge the stock market and bond market risks.The t-Copula model is used to classify different market states to study whether gold can be an effective safe-haven for stock and bond markets during the period of market turbulence and sharp declines.At the same time,the Copula-VaR model based on Monte Carlosimulation method is introduced to study whether the investment risk of the original stock investment portfolio and the original bond investment portfolio can be effectively reduced after adding gold assets,so as to perfect the research on the hedging and safe-haven function of gold.In addition,this paper introduces the theory of maximum overlapping discrete wavelet transform to examine the hedging and safe-haven function of gold in the stock market and bond market under different time scales.The empirical results show that since the financial crisis in 2008,gold,in a strict sense,can no longer be regarded as a hedging or safe-haven asset in China's stock and bond markets.Regardless of the market state of the stock and bond markets,it is not feasible to hedg the stock market risk or bond market risk by investing in gold.In addition,adding gold assets to the stock asset portfolio will reduce the original investment risk,while adding gold assets to the bond asset portfolio will increase the original investment risk.However,the investment portfolio of gold and stock or that of gold and bond can effectively reduce the risk of the overall investment portfolio.The research conclusions of this paper can be used as a reference for different investors when making asset allocation decisions. |
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