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

doi:10.16381/j.cnki.issn1003-207x.2020.1285

摘要/Abstract

摘要： 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。

关键词: 黄金；股票市场；避险天堂；金融投机；动态条件相关混频数据抽样模型

Abstract: 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.

Key words: gold; stock market; safe haven; financial speculation; DCC-MIDAS

中图分类号:

F831.5

谭德凯, 田利辉. 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[J]. 中国管理科学, 2022, 30(10): 14-24.

TAN De-kai, TIAN Li-hui. Is Gold a Safe Haven of the Stock Market?——Based on Dynamic Conditional Correlation Mixed Data Sampling Model[J]. Chinese Journal of Management Science, 2022, 30(10): 14-24.

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