An Analysis of Gold as Safe Haven Against Stock and Exchange Rate Shocks

摘要

To examine the function of gold as diversifier or a safe haven against China's stock market volatility or fluctuations of the RMB, we study time-varying relations between china stock returns and China's currency returns with gold returns based on DCC - GARCH model depicting the July 21, 2005 to September 1, 2017. The empirical results shows that gold cannot be a haven asset in China's stock market. Gold cannot be an effectively haven asset in rapid devaluation of RMB in China currency market. The function of gold as a safe haven did not change significantly before and after the reform of exchange rate system.