The Different Safe Haven Property of Gold and Bitcoin on the Chinese Stock Market:Based on the DCC-GARCH t-Copula Model
The COVID-19 pandemic brings a crisis to China's stock market,and investor's choice of safe haven assets is increasingly attracting attention.This paper uses the DCC-GARCH t-copula model to test the safe haven property between gold and bitcoin in China's stock market during the COVID-19 pandemic.The results show that gold is a better safe haven asset than bitcoin on average,because gold has a lower average hedging ratio than bitcoin,provides a cheaper hedge,and requires a lower proportion of gold than bitcoin in a portfolio with the same stock industry index.The dynamic volatility of optimal hedging ratios and portfolio weights also further points to the need for investors to actively rebalance their portfolios rather than adopt a static approach.
NETL
NSTL
万方数据
