Abstract
Gold is considered the most strategic commodities and the most important financial assets all over the world. This paper investigates the co-movements between the gold price and stock market in China by using the wavelet approach. The results show that gold cannot act as a hedging tool in the short term, which is quite consistent with the results in the UK and US. However, it serves as a hedging tool against stock market only in China in the long term after 2005. We own the hedge attribution of gold in the long term after 2005 only in China to some important market policies shifting, such as the non-tradable share reform in Chinese capital market and the exchange rate reform in 2005. The results also reveal that the stock market in China has been dominated by the gold price over the long term.
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