An Analysis of Gold as Safe Haven Against Stock and Exchange Rate Shocks

DOI

10.2991/wrarm-17.2017.75How to use a DOI?

Keywords

Gold as a safe haven; Stock market volatility; Exchange rate reform; DCC-GARCH model

Abstract

To examine the function of gold as diversifier or a safe haven against China's stock market volatility or fluctuations of the RMB, we study time-varying relations between china stock returns and China's currency returns with gold returns based on DCC - GARCH model depicting the July 21, 2005 to September 1, 2017. The empirical results shows that gold cannot be a haven asset in China's stock market. Gold cannot be an effectively haven asset in rapid devaluation of RMB in China currency market. The function of gold as a safe haven did not change significantly before and after the reform of exchange rate system.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Huawei Yang
AU  - Wei Liu
AU  - Chaoqi Wu
PY  - 2017/11
DA  - 2017/11
TI  - An Analysis of Gold as Safe Haven Against Stock and Exchange Rate Shocks
BT  - Proceedings of the Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017)
PB  - Atlantis Press
SP  - 432
EP  - 436
SN  - 1951-6851
UR  - https://doi.org/10.2991/wrarm-17.2017.75
DO  - 10.2991/wrarm-17.2017.75
ID  - Yang2017/11
ER  -