黄金是对冲股市的工具还是避险工具?来自条件评论的证据

IF 2.1 2区 经济学 Q2 BUSINESS, FINANCE Journal of Empirical Finance Pub Date : 2023-11-02 DOI:10.1016/j.jempfin.2023.101439
Lei Ming , Ping Yang , Qianqiu Liu
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引用次数: 0

摘要

在本研究中,我们使用二元制度切换模型估计黄金和股票收益之间的条件相关和余偏性。在Yang, Zhou, and Wang(2010)的激励下,如果样本中的平均相关性为负,且余偏性为正,我们将黄金定义为强对冲。如果在市场动荡的情况下,黄金是一个强大的避风港。我们对24个国家的黄金属性进行了长达40多年的实证研究,发现黄金在巴西、印度、印度尼西亚、意大利、墨西哥、俄罗斯、韩国和土耳其都是一种强大的对冲和避险工具。文化特征和金融市场状况之间的相互作用共同决定了黄金在各国的作用。我们构建了一个基于条件评论的动态交易策略,并在黄金可以作为对冲或避险工具时将其加入股票投资组合。它的样本外表现主导了买入并持有和基于相关性的策略,特别是当我们考虑到黄金的避险属性时。
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Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments

In this study, we estimate the conditional correlation and coskewness between gold and stock returns using a bivariate regime-switching model. Motivated by Yang, Zhou, and Wang (2010), we define gold as a strong hedge if the average correlation is negative and the coskewness is positive in the sample. Gold is a strong safe haven if these hold under market turmoil. We empirically examine the property of gold in 24 countries for a sample period spanning over 40 years and find that gold acts as a strong hedge and safe haven in Brazil, India, Indonesia, Italy, Mexico, Russia, South Korea, and Turkey. The interplay between cultural characteristics and the state of financial markets collectively defines gold's role in various countries. We construct a conditional comoment-based dynamic trading strategy and add gold to the stock portfolio when it can serve as a hedge or safe haven. Its out-of-sample performance dominates the buy-and-hold and correlation-based strategies, especially when we consider the safe haven property of gold.

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来源期刊
CiteScore
3.40
自引率
3.80%
发文量
59
期刊介绍: The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.
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