黄金是股票市场的“避险天堂”吗?——基于动态条件相关混频数据抽样模型

Is Gold a Safe Haven of the Stock Market?——Based on Dynamic Conditional Correlation Mixed Data Sampling Model

本文提出一种新的衡量黄金避险功能的指标。基于动态条件相关混频数据抽样模型,就1991—2019年黄金对股票市场的避险作用进行再检验,结果显示,国际黄金总体上未表现出对美国股票市场的避险作用,相对比的,中国黄金对于国内股票市场表现出有效的避险功能。进而分析国际黄金避险功能不足的原因,改进动态条件相关混频数据抽样模型,由固定参数拓展为有限可变参数,研究发现,指数投资导致的黄金期货市场投机程度相对下降是黄金避险功能不足的根本原因。指数投资使黄金货币属性弱化,金融属性主导价格走势,此时较高的货币流动性紧缩会促使黄金与其他金融资产被一同变现卖出,从而导致黄金不能在危机时期表现出避险作用。

Gold has always been regarded as an important safe-haven asset.With the increase in global uncertainties in recent years,gold investment is once again favored by investors.Whether gold can be used as a safe haven for the stock market investors is a hot topic in academic literature.However,the existing literature not only has inconsistent conclusions,but also does not give an empirical explanation of why gold hedging function has changed.The definition of a safe haven is improved.If the correlation coefficient between gold and stock index returns decreases with the increase in economic uncertainty,then gold is regarded as a safe haven.The difference between this definition and the traditional definition is that this definition pays more attention to the relationship between the correlation coefficient and the degree of economic uncertainty,rather than the correlation coefficient in some special risk periods.The traditional definition is more subjective and not forward-looking.The definition in this paper are relatively more objective and predictive.Based on the international and domestic gold and stock market data from 1991 to 2019,using dynamic conditional correlation mixed data sampling(DCC-MIDAS)model,the hedging function of gold is re-examined.The results found that the international gold generally failed to show a hedging effect on the US stock market,while Chinese gold showed an effective hedging function on the Chinese stock market.Further discuss the reasons for the insufficient hedging function of international gold.The DCC-MIDAS model is improved,some parameters are adjusted from fixed parameters to variable parameters.More specifically,the method is to set the parameter that measures the hedging function of gold as a linear function of the relative degree of speculation in the gold futures market.The results of the improved model show that the decline in speculation in the gold futures market relative to the crude oil market is the fundamental reason for the insufficient hedging function of gold.The emergence of commodity index investment weakens the currency attribute of gold,and financial attributes dominate price trends.Gold is different from other commodities.Its hedging function is mainly derived from currency attributes,rather than commodities and financial attributes.Therefore,after the financialization of the commodity market,gold’s hedging function weakened.Gold has become an asset in a commodity index.When faced with a liquidity crunch,it is sold together with other financial assets due to index investment,which makes gold unable to effectively perform its hedging function.Some important policy implications are provided in this study.First,in the context of high global economic risks,domestic investors can regard gold as a safe haven,while international investors need to decide whether to invest in gold based on the relative speculative changes in the gold futures market.Only when the international gold market has a relatively high degree of speculation,it can become a safe haven.Second,higher trading activity will enable commodity pricing to reflect more unique information.Therefore,under the trend of the internationalization of China’s commodity market,the development and prosperity of China’s commodity futures market will help make China’s commodity pricing reflect more China-specific information.