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首页> 外文期刊>Journal of International Financial Markets, Institutions & Money >Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold
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Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold

机译：在金融危机时期基于商品市场的股票风险对冲：原油和黄金案例

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摘要

Based on daily data from 1989 to 2016 we find that the correlations between gold and oil market futures and equity returns in the aggregate US market, and specifically in the energy sector stocks have changed strongly during the stock market crisis periods. The correlation between crude oil futures and aggregate US equities increases in crisis periods, whereas in case of gold futures the correlation becomes negative, which supports the safe haven hypothesis of gold. Also for the US energy sector equities our results support using gold futures for cross-hedging especially during the stock market crises. (C) 2018 Elsevier B.V. All rights reserved.
机译：根据1989年至2016年的每日数据，我们发现，在股市危机期间，黄金和石油市场期货与美国整体市场（尤其是能源行业股票）的股票收益率之间的相关性发生了很大变化。在危机时期，原油期货与美国总股票之间的相关性增加，而在黄金期货中，相关性变为负数，这支持了黄金的安全港假设。同样对于美国能源行业的股票，我们的结果支持使用黄金期货进行交叉对冲，尤其是在股市危机期间。 （C）2018 Elsevier B.V.保留所有权利。

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