基于BEKK-GARCH模型的黄金对中国股市避险能力的分析

An Analysis on Gold as a Hedge against Chinese Stock Market Risk Based on BEKK-GARCH Model

本文基于BEKK-GARCH模型,考察了中国黄金市场与股票市场的动态相关性,以此来分析黄金的避险能力。我们发现,长期来看黄金不具有明显的避险能力;短期来看黄金具有一定的避险能力,而且短期避险能力从2003年至2011年为止呈现逐年加强的趋势,但是当金融危机发生时没有一个固定的最佳黄金持有期,因此必须采用非静态避险的方法来对冲股市风险。

Tn find out whether gold can be an efficient hedge in Chinese stock market, the authors investigated the dynamic cor- relations between Chinese gold market and stock market using the BEKK- GARCH model. The study shows that gold can somewhat be a safe haven in short terms but not efficient in a longer term. From 2003 to 2011, a gradually increasing pattern has been noticed concerning the short term hedge ability of gold. However, no constant gold holding period can be found during financial crisis. A dynamic hedging strategy is therefore suggested to olivet the stock volatility.