Abstract
This paper uses multivariate VAR-CCC-GARCH and VAR-DCC-GARCH models to examine volatility spillovers among gold spots, gold futures, stock, bond, and oil from January 9, 2008 to January 4, 2019. Our finding suggests that due to weak correlations with Chinese stock, Chinese bond, and international crude oil, Chinese gold spots and futures cannot play the hedge role. This contradicts previous findings on the hedging role of gold. However, gold is suitable for portfolio diversification and helps reduce portfolio risk.
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