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中国管理科学

中国管理科学 >

2018 , Vol. 26 >Issue 11: 1 - 10

DOI: https://doi.org/10.16381/j.cnki.issn1003-207x.2018.11.001

论文

黄金是否为原油的“避险天堂”?——基于组合收益及其波动视角

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  • 1. 北京航空航天大学经济管理学院, 北京 100191;
    2. 中国科学院科技战略咨询研究院能源与环境政策研究中心, 北京 100190;
    3. 中国科学院大学公共政策与管理学院, 北京 100049

收稿日期: 2017-08-14

  修回日期: 2018-05-20

  网络出版日期: 2019-01-23

基金资助

国家自然科学基金资助项目（71774152，91546109）；中科院青促会项目（Y7X0231505）

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Is the Gold Safe Haven of the Oil? The Portfolio Return and Volatility Perspectives

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  • 1. School of Economics & Management, Beihang University, Beijing 100191, China;
    2. Center for Energy and Environmental Policy Research, Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China;
    3. School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing 100049, China

Received date: 2017-08-14

  Revised date: 2018-05-20

  Online published: 2019-01-23

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摘要

本文从资产组合极端收益以及资产组合波动两个视角分析了原油与黄金资产的风险问题。实证结果表明，原油与黄金市场间的联动关系具有动态变化特征，在市场极端危机阶段显著减弱。在资产组合收益视角下，当原油市场处于极端风险时，黄金不是原油的"避险天堂"资产。然而，在资产组合收益的波动视角下，原油与黄金投资组合在一定程度上可以降低资产风险暴露，特别是在2008年下半年金融危机阶段以及2014年下半年原油市场暴跌阶段，资产风险显著降低。

关键词： 原油市场; 黄金市场; 避险天堂; 最小方差投资组合; VaR

本文引用格式

刘炳越, 姬强, 范英 . 黄金是否为原油的“避险天堂”?——基于组合收益及其波动视角[J]. 中国管理科学, 2018 , 26(11) : 1 -10 . DOI: 10.16381/j.cnki.issn1003-207x.2018.11.001

Abstract

The oil and gold asset risks are analyzed from two perspectives, i.e. asset portfolio extreme returns and their volatilitiesvia daily oil and gold price data from January 2, 2006 to April 14, 2017.
First, two time series regression models are employed with residuals modelled from 30 GARCH-D processes, rg,t=μg1+δtro,t+εg,t where δt=δ01+δ11·I(ro,t<qo,t0.10)+δ21·I(ro,t<qo,t0.05)+δ31·I(ro,t<qo,t0.01), and rg,t=μg2+δtro,t+εg,t where δt=δ02+δ12·I(t1 ≤ t ≤ t2)+δ22·I(t3 ≤ t ≤ t4), to verify whether the gold is the hedge or safe haven for the oil. The empirical results, and + for the first regression, and  and  for the second regression, show that the gold is neither the hedge nor the safe haven for the oil from the perspectives of portfolio returns.
Second, the DCC-GARCH model is employed to explore the co-movements between oil and gold, and the empirical results show that there exist the dynamic characteristics in the co-movements between oil and gold, but the co-movements may be weaker in the extreme crisis period. Then, the variance-minimum portfolio is constructed via solving the programming problem,P1:minωt Var(rp,t|Ft-1), s.t.0 ≤ ωt ≤ 1, based on the DCC-GARCH model, the portfolio return series rp,t=ωt* ro,t+(1-ωt*)rg,t are obtained, and then the conditional distribution of the returns rp,t is modeled to measure the risks of unit asset portfolio. From the perspective of portfolio volatilities, the empirical results show that the variance-minimum portfolio of oil and gold can reduce the unit asset risk exposures, especially during the extreme oil market period, i.e. the 2008 global financial crisis and the crash in oil price after 2014.
Last, this paper is conducive to understanding the safe haven nature of gold assets, and also offers the investors some practical significances to avoid oil market risks viaoil and gold portfolio strategy.

Key words： oil market; gold market; safe haven; variance-minimum portfolio; value-at-risk

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