Hedging With Gold, Correlation Cycles and Risk Aversion: Evidence From Global Economic Sectors
研究了黄金在不同动态相关性周期下对11个全球行业股票的对冲、避险和分散化特性，发现黄金在低相关性周期是强对冲工具，风险厌恶与黄金-行业相关性负相关，危机事件放大此效应，且对冲防御性行业需较低黄金配置。
ABSTRACT We investigate (i) the variation of gold's hedging, safe haven and diversification properties across dynamic correlation cycles and 11 global sector equities, and (ii) the joint impact of risk aversion and global crisis events on asymmetric dynamic conditional correlation (ADCC) between gold and each sector. Contrary to evidence based on linear models, we find that (i) gold is consistently a strong hedge in the low ADCC cycle and largely an effective diversifier at moderate ADCC cycles. (ii) Gold is predominantly a strong safe haven during low and moderate ADCC quantiles. (iii) Risk aversion is inversely related to sector‐gold ADCC, especially in the lower ADCC quantiles. Moreover, crisis events such as COVID‐19, the global financial crisis (GFC) and the European sovereign debt crisis (ESDC) amplify the impact of risk aversion on ADCC. (iv) Investors derive a marginal utility loss for hedging defensive sectors such as healthcare, consumer staples and utilities, requiring relatively lower gold allocation than cyclical sectors. Our results have important implications for dynamic portfolio allocation and risk management decisions.