Does Gold Serve as a Hedge for the Stock Market in China? Evidence from a Time-Frequency Analysis

Ming, Lei; Shen, Yao; Yang, Songfan; Zhu, Sangzhi; Zhu, Hong

doi:10.1080/1540496x.2019.1677225

Cited by 9 publications

(5 citation statements)

References 24 publications

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“…This research partially supports the findings of Ming et al (2019) since gold is a safe haven in Malaysia and hedging instruments in other ASEAN-5 countries. The authors argue that marketization and trading rules in China are different from those of ASEAN-5 nations, especially Malaysia.…”

Section: Discussionsupporting

confidence: 84%

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Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

et al. 2020

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The previous studies have shown that capital market integration has increased in the ASEAN-5, implying that investors making investment diversification across ASEAN capital markets could only earn limited diversification advantages. To diversify their portfolios, equity investors must find other assets. The main focus of this research is to analyze the effectiveness of put replication, gold, and oil on hedge equities in the ASEAN-5 (Indonesia, Malaysia, Singapore, Thailand, and the Philippines). Protective put strategy, DCC-GARCH, and Markowitz optimization are used to measure hedge effectiveness, risk-adjusted-performance such as Sharpe ratio, drawdown, and Omega ratio. The result reveals that gold is a cheaper hedge than oil and oil-hedged strategy is more expensive in ASEAN-5 compared to oil exporting nations. Also, investors with big exposure to the oil-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is less attractive than money market instruments and gold. This study also implies that risk-averse investors should prefer to put replication or guaranteed financial products compared to commodities-hedged strategy.

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Section: Discussionsupporting

confidence: 84%

“…Ming, Shen, Yang, Zhu, and Zhu (2019) The authors used the wavelet approach and gathered data on spot gold prices from the Shanghai Composite Index from 1991 to 2016.…”

Section: Discussionmentioning

confidence: 99%

Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

et al. 2020

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“…7,52,53 The key advantage of the wavelet methods is their capacity to display processes of developing cyclic arrays, trends, and non-stationary problems, which is critical when dealing with economic indicators. 22,51,54 Wavelet coherence (WTC) and continuous wavelet transform (CWT), both part of wavelet frameworks, offer straightforward insight into the intercorrelations between the two indicators at various frequencies, in-phase and out-of-phase co-movements, and lead-lag relationships. 1,3,4,16,17,19,54,55 In contrast to bivariate wavelet analysis, using multiple wavelet coherence (MWC) and partial wavelet coherence (PWC) allows us to include a third indicator as a conditioning factor.…”

Section: Data Source and Methodologymentioning

confidence: 99%

“…In that situation, using a time-frequency method would be a better selection. 51 The wavelet technique, on the other hand, does not require any knowledge about the frequency elements of a variable. It assumes that the relevant frequency for investigating its behavior is the same as the sample frequency.…”

Section: The Wavelet Frameworkmentioning

confidence: 99%

Causal relationship between globalization, economic growth and CO₂ emissions in Vietnam using Wavelet analysis

Hung

2022

Energy & Environment

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In connection with environmental degradation in Vietnam, known as an emerging economy, very limited studies have been implemented to demonstrate the environmental aspects of the country's core policies, as well as recent economic policies such as economic growth and globalization policies. Given this driving force, this paper uncovers a novel perspective on the causal associations between CO2 emissions, economic growth, and globalization in Vietnam using wavelet analysis. The empirical results provide evidence of the interconnections between the selected indicators through time and frequency. More accurately, the findings uncover that economic growth and globalization significantly increase carbon dioxide emissions in Vietnam in the medium and long run. These outcomes highlight the importance of policymakers properly coordinating policies to address Vietnam's severe environmental degradation. Furthermore, Vietnam should continue relevant policy reforms such as encouraging investment, allowing for effective governance and promoting human capital accumulation.

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“…The existing literature, as summarized by O'Connor et al ( 2015 ) and Vigne et al ( 2017 ), on the role of gold as a haven for stock markets is mostly focused on developed and major emerging markets (see, inter alia, Ming et al 2020 ; Shahzad et al 2019 ) and has continued to gain significantly in popularity since the financial crisis (for instance, Maghyereh et al, 2017 ). Some studies have focused on gold’s haven and hedging capabilities against stocks in the cases of Brazil, Russia, India, China, and South Africa (BRICS) and Asian countries (Pandey 2018 ; Robiyanto et al, 2019, 2022).…”

Section: Introductionmentioning

confidence: 99%

Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries

Mensi

Maitra²,

Selmi³

et al. 2023

Financ Innov

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This study addresses whether gold exhibits the function of a hedge or safe haven as often referred to in academia. It contributes to the existing literature by (i) revisiting this question for the principal stock markets in the Middle East and North Africa (MENA) region and (ii) using the copula-quantile-on-quantile and conditional value at risk methods to detail the risks facing market participants provided with accurate information about various gold and stock market scenarios (i.e., bear, normal, bull). The results provide strong evidence of quantile dependence between gold and stock returns. Positive correlations are found between MENA gold and stock markets when both are bullish. Conversely, when stock returns are bearish, gold markets show negative correlations with MENA stock markets. The risk spillover from gold to stock markets intensified during the global financial and European crises. Given the risk spillover between gold and stock markets, investors in MENA markets should be careful when considering gold as a safe haven because its effectiveness as a hedge is not the same in all MENA stock markets. Investors and portfolio managers should rebalance their portfolio compositions under various gold and stock market conditions. Overall, such precise insights about the heterogeneous linkages and spillovers between gold and MENA stock returns provide potential input for developing effective hedging strategies and optimal portfolio allocations.

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Does Gold Serve as a Hedge for the Stock Market in China? Evidence from a Time-Frequency Analysis

Cited by 9 publications

References 24 publications

Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Causal relationship between globalization, economic growth and CO₂ emissions in Vietnam using Wavelet analysis

Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries

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Does Gold Serve as a Hedge for the Stock Market in China? Evidence from a Time-Frequency Analysis

Cited by 9 publications

References 24 publications

Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Causal relationship between globalization, economic growth and CO2 emissions in Vietnam using Wavelet analysis

Extreme dependencies and spillovers between gold and stock markets: evidence from MENA countries

Contact Info

Product

Resources

About

Causal relationship between globalization, economic growth and CO₂ emissions in Vietnam using Wavelet analysis