重大危机事件冲击下黄金避险能力动态演化特征研究

Research on Dynamic Evolution Characteristic of Gold Safe Haven Ability Under Major Crisis Events

本文聚焦于2008年以来国际范围的5次重大危机事件,深入对比分析了不同黄金资产(国际与国内黄金现、期货)对我国股市及各行业股市避险能力的强弱,以期解决黄金资产对于我国股市是否具有风险对冲、财富分散化以及避险能力,何种类型黄金在何种情况下的避险能力最强以及不同重大危机事件冲击下黄金对我国股市的避险能力如何动态演化这三大问题。研究结果表明:(1)国际与国内黄金现、期货均可以作为我国股市的有效财富分散化工具;(2)重大危机事件冲击下,黄金对我国股市的避险能力显著增强;(3)重大危机事件冲击下,国内黄金对于我国股市的避险能力强于国际黄金,黄金现货对于我国股市的避险能力强于黄金期货;(4)我国黄金期货在中美贸易战期间可以作为我国股市的有效避险资产。本文系统性地对黄金避险能力的动态演化特征进行研究,对有效防控系统性金融风险,加强宏观审慎管理具有重要意义。

This paper focuses on five major international crisis events since 2008,and deeply analyzes the changes of inter⁃national and domestic gold cash and futures’hedging ability to Chinese stock market and stock markets in various industries under exogenous impact,further compare and analyze the safe haven ability of different gold assets to Chinese stock market and stock mar⁃kets in various industries.It is expected to solve three major problems:whether gold has risk hedging,diversifier and safe haven function for Chinese stock market,which kind of gold has the strongest safe haven ability in what period,and how the safe haven a⁃bility of gold to Chinese stock market changes dynamically under different exogenous shocks.The results of this study show that:(1)both international and domestic gold spot and futures can be used as effective wealth dispersion choices for all sectors of stock markets in China.(2)Under the exogenous impact,the safe haven ability of gold to Chinese stock market and stock markets in va⁃rious industries is significantly enhanced.(3)Under exogenous shocks,the safe haven ability of gold futures for Chinese stock market is stronger than that of gold spot,and the safe haven ability of domestic gold for Chinese stock market is stronger than that of international gold.(4)Chinese gold futures can be used as effective safe-haven assets in Chinese stock market and stock markets of various industries during the five major crises in the 21st century.This paper systematically studies the dynamic changes of gold safe haven ability,which is of great significance for effectively preventing and controlling systemic financial risks and strengthening macro-prudential management.