Dynamic Correlation among Stock, Bond and Gold Markets in China
(2013) NEKN02 20131Department of Economics
- Abstract
- In this paper, we analyze the dynamic correlations among stocks, bonds and the gold market in China. Using the MGARCH approach, conditional correlations are constructed based on data for the period 2003-2013. The results indicate that under a strictly regulated environment, the correlations among assets exhibit unique characteristics in the Chinese context. Firstly, gold is a diversifier to stocks and bonds rather than a safe haven; secondly, the spillover effects only happen from stocks to bonds; finally, risk-free interest rate, exchange rate, stock volatility, inflation rate and market liquidity can all significantly affect dynamic correlations.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/3808555
- author
- Zhao, Can LU
- supervisor
- organization
- course
- NEKN02 20131
- year
- 2013
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- correlation stock bond gold China
- language
- English
- id
- 3808555
- date added to LUP
- 2013-06-12 14:44:56
- date last changed
- 2013-06-12 14:44:56
@misc{3808555, abstract = {{In this paper, we analyze the dynamic correlations among stocks, bonds and the gold market in China. Using the MGARCH approach, conditional correlations are constructed based on data for the period 2003-2013. The results indicate that under a strictly regulated environment, the correlations among assets exhibit unique characteristics in the Chinese context. Firstly, gold is a diversifier to stocks and bonds rather than a safe haven; secondly, the spillover effects only happen from stocks to bonds; finally, risk-free interest rate, exchange rate, stock volatility, inflation rate and market liquidity can all significantly affect dynamic correlations.}}, author = {{Zhao, Can}}, language = {{eng}}, note = {{Student Paper}}, title = {{Dynamic Correlation among Stock, Bond and Gold Markets in China}}, year = {{2013}}, }