ABSTRACT

Gold is often considered a safe haven asset providing negative return correlation with the stock market in times of distress, while in more calm periods the correlation is close to zero. We study the dynamic inter-linkage of gold prices and the stock market. Specifically, we model the log-prices of gold and a stock index as jump-diffusive processes, with the jumps arriving with mutually exciting intensities. Hence, the occurrence of negative shocks to the stock index spill over into higher probabilities of positive shocks to the gold price and vice versa. For the empirical analysis, we consider daily prices on gold and the SPX index. Utilizing that the model's moment conditions are computed efficiently in closed form, we use the generalized method of moments to estimate the model parameters. We document the existence of cross-excitation between the stock index and gold prices, with the channel from the stock index to gold prices being the most pronounced. Moreover, we find that gold behaves as a safe haven asset for the stock index for around 20 days following a market crash. Finally, we study the power of the proposed model to predict future price jumps and benchmark the performance against more classical models.

摘要

黄金通常被认为是一种避险资产，在困难时期与股市提供负回报相关性，而在较为平静的时期，相关性接近于零。我们研究黄金价格和股票市场的动态关联。具体来说，我们将黄金和股票指数的对数价格建模为跳跃扩散过程，跳跃以相互激发的强度到达。因此，对股指的负面冲击会溢出到对黄金价格产生正面冲击的更高概率，反之亦然。对于实证分析，我们考虑黄金和 SPX 指数的每日价格。利用封闭形式有效计算模型的矩条件，我们使用广义矩方法来估计模型参数。我们记录了股指和黄金价格之间存在交叉激励，其中从股指到黄金价格的通道最为明显。此外，我们发现黄金在市场崩盘后的大约 20 天内充当股指的避险资产。最后，我们研究了所提出的模型预测未来价格上涨的能力，并将性能与更经典的模型进行对比。