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首页> 外文期刊>Applied Economics >How are gold returns related to stock or bond returns in the U.S. market? Evidence from the past 10-year gold market
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How are gold returns related to stock or bond returns in the U.S. market? Evidence from the past 10-year gold market

机译：黄金收益与美国市场的股票或债券收益有何关系？过去十年黄金市场的证据

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摘要

Although the gold market over the past decade has been soaring relative to its prior history, there have been few studies on the relationship between the gold market and other major financial markets based on the past decade of data. To re-investigate how the gold market interacts with the stock market and the bond market, we re-visit economic and financial characteristics of gold using the past 10-year data in terms of co-integration, causality, predictive power, and extreme returns. We find that while gold returns are not co-integrated with stock returns and bond returns, gold returns have a unidirectional causality with both of them. Also, we discover that gold returns have some predictive power on subsequent short-term stock returns. Under extreme market scenarios, it turns out that gold returns tend to deteriorate more simultaneously with bond returns than stock returns. This means that gold can better serve as a safe haven for stock in a relative sense during temporary market downturns.
机译：尽管过去十年中的黄金市场相对于其先前的历史一直在飞涨，但是基于过去十年的数据，很少有关于黄金市场与其他主要金融市场之间关系的研究。为了重新研究黄金市场与股票市场和债券市场的相互作用，我们使用过去10年的数据，从协整，因果关系，预测能力和极高回报的角度重新审视了黄金的经济和金融特征。 。我们发现，尽管黄金收益与股票收益和债券收益没有共同整合，但黄金收益与两者都有单向因果关系。此外，我们发现黄金收益对随后的短期股票收益具有一定的预测能力。在极端的市场情况下，事实证明，与债券收益相比，黄金收益与债券收益同时恶化的趋势更大。这意味着在暂时的市场低迷时期，相对而言，黄金可以更好地充当股票的避风港。

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