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黄金一直被视为最重要的安全资产,股票则被视为风险资产的代表。黄金与股市间到底存在“跷跷板”效应还是同向相关,对于投资者的资产配置有重要意义。本文采用协整检验、Granger因果检验以及GARCH检验,对中国沪深300指数和上海黄金现货价格2007年至2016年的整体样本,以及2008年和2015年两次中国股市波动期间的子样本分别进行了检验。实证结果表明,中国黄金市场在非危机阶段对股票市场具有一定的避险效应,危机时期两者呈现出同向变化的特征,避险效应不显著。两个市场间不存在均值溢出效应,但两者间存在长期协整关系,黄金市场对股票市场具有单向波动溢出效应。
Gold has always been regarded as the most important security asset, while stocks are considered as a proxy for risky assets. Gold and the stock market in the end there is “seesaw ” effect or with the same direction, the allocation of assets for investors is important. In this paper, using the cointegration test, Granger causality test and GARCH test, the overall sample of Shanghai and Shenzhen 300 Index and the Shanghai Gold Spot Price from 2007 to 2016 and the sub-sample during the two Chinese stock market fluctuations in 2008 and 2015 respectively The test. The empirical results show that the Chinese gold market has a certain hedging effect on the stock market during the non-crisis period, and the two have shown the same-direction change during the crisis, and the hedging effect is not significant. There is no mean spillover effect between the two markets, but there is a long-term cointegration relationship between the two markets, and the gold market has a one-way volatility spillover effect on the stock market.