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Dynamic Correlation among Stock, Bond and Gold Markets in China

Zhao, Can LU (2013) NEKN02 20131
Department 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.
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author
Zhao, Can LU
supervisor
organization
course
NEKN02 20131
year
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},
  keyword      = {correlation stock bond gold China},
  language     = {eng},
  note         = {Student Paper},
  title        = {Dynamic Correlation among Stock, Bond and Gold Markets in China},
  year         = {2013},
}