We examine the role of gold as a hedge and safe haven from the perspective of Chinese investors. Using the Shanghai Futures Exchange (SHFE)‐Gold futures prices and the CSI 300 index from 2008 to 2017, we find that gold is not a hedge against the Chinese stock market on average. However, gold acts as a safe haven when market returns are below their 1%, 5%, and 10% quantiles and during the two crash periods. Our findings apply to most of the industry sectors as well. We also show that the role of gold can change drastically due to some market policy reforms.
The paper utilizes the multilateral prices of West Texas Intermediate futures and the US dollar to study the nature of oil-dollar linkages. The empirical findings confirm a contagion effect between these two markets in the 1990 Gulf War, while flight-to-quality phenomena from oil to the US dollar are confirmed as a common feature for the 2008 and 2014 oil crashes, implicitly emphasizing the safe-haven role of the US dollar during oil market turmoil.These results offer significant evidence for nonlinear and asymmetric relationship between the crude oil market and the US dollar market during all periods of oil crashes.
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