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Volatility spillovers between stock, bond, oil, and gold with portfolio implications: Evidence from China

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  • Zhang, Yongjie
  • Wang, Meng
  • Xiong, Xiong
  • Zou, Gaofeng

Abstract

This paper uses multivariate VAR-CCC-GARCH and VAR-DCC-GARCH models to examine volatility spillovers among gold spots, gold futures, stock, bond, and oil from January 9, 2008 to January 4, 2019. Our finding suggests that due to weak correlations with Chinese stock, Chinese bond, and international crude oil, Chinese gold spots and futures cannot play the hedge role. This contradicts previous findings on the hedging role of gold. However, gold is suitable for portfolio diversification and helps reduce portfolio risk.

Suggested Citation

  • Zhang, Yongjie & Wang, Meng & Xiong, Xiong & Zou, Gaofeng, 2021. "Volatility spillovers between stock, bond, oil, and gold with portfolio implications: Evidence from China," Finance Research Letters, Elsevier, vol. 40(C).
    • Handle: RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320316007
    DOI: 10.1016/j.frl.2020.101786
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    9. Guannan Wang & Juan Meng & Bin Mo, 2023. "Dynamic Volatility Spillover Effects and Portfolio Strategies among Crude Oil, Gold, and Chinese Electricity Companies," Mathematics, MDPI, vol. 11(4), pages 1-25, February.
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    More about this item

    Keywords

    Gold; Financial markets; Hedge; Portfolio optimization;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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