{"title":"金融危机时期基于商品市场的股票市场风险对冲:以原油和黄金为例","authors":"J. Junttila, J. Pesonen, J. Raatikainen","doi":"10.2139/ssrn.3024668","DOIUrl":null,"url":null,"abstract":"Based on daily data from 1989 to 2016 we find that the correlations between gold and oil market futures and equity returns in the aggregate US market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between crude oil futures and aggregate US equities increases in crisis periods, whereas in case of gold futures the correlation becomes negative, which supports the safe haven hypothesis of gold. Also for the US energy sector equities our results support using gold futures for cross-hedging especially during the stock market crises.","PeriodicalId":415144,"journal":{"name":"EnergyRN: Other Petroleum (Sub-Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"173","resultStr":"{\"title\":\"Commodity Market Based Hedging against Stock Market Risk in Times of Financial Crisis: The Case of Crude Oil and Gold\",\"authors\":\"J. Junttila, J. Pesonen, J. Raatikainen\",\"doi\":\"10.2139/ssrn.3024668\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Based on daily data from 1989 to 2016 we find that the correlations between gold and oil market futures and equity returns in the aggregate US market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between crude oil futures and aggregate US equities increases in crisis periods, whereas in case of gold futures the correlation becomes negative, which supports the safe haven hypothesis of gold. Also for the US energy sector equities our results support using gold futures for cross-hedging especially during the stock market crises.\",\"PeriodicalId\":415144,\"journal\":{\"name\":\"EnergyRN: Other Petroleum (Sub-Topic)\",\"volume\":\"34 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-05-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"173\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"EnergyRN: Other Petroleum (Sub-Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3024668\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"EnergyRN: Other Petroleum (Sub-Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3024668","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Commodity Market Based Hedging against Stock Market Risk in Times of Financial Crisis: The Case of Crude Oil and Gold
Based on daily data from 1989 to 2016 we find that the correlations between gold and oil market futures and equity returns in the aggregate US market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between crude oil futures and aggregate US equities increases in crisis periods, whereas in case of gold futures the correlation becomes negative, which supports the safe haven hypothesis of gold. Also for the US energy sector equities our results support using gold futures for cross-hedging especially during the stock market crises.
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