Dynamic Relationship And Portfolio Management Between Precious Metals And Financial Markets

In recent years,the uncertainty of China's financial market has increased,which intensifies investors' determination to seek hedging and hedging assets.As a special metal with multiple characteristics,precious metals have become the best choice for investors.However,as a traditional "safe haven",precious metals do not seem to play a role in the background of financial market panic.It is worth studying whether there is the ability of hedging and hedging in the existing market.Therefore,this paper studies the Dynamic Risk Spillover Effect and dynamic correlation between precious metals and financial markets,and explores the role of precious metals in maintaining and avoiding risks,which is conducive to investors' understanding of the precious metal market and provides certain theoretical basis for investors to timely adjust the investment proportion of precious metals.From the perspective of domestic investors,this paper uses the return of precious metals and financial assets to accurately capture the spillover effect between the precious metal market and the financial market,reveals the dynamic relationship between the two,and analyzes whether the precious metal has the ability to maintain or avoid risks,and finally determines the optimal allocation of asset portfolio.First of all,this paper uses DCC-GARCH model to analyze the long-term dynamic correlation of precious metals to stock,bond and futures markets,and to test the hedging effect of precious metals on various markets.On the basis of understanding the relationship between markets,this paper uses Co Va R method to study the Dynamic Risk Spillover between precious metals and financial markets.Secondly,this paper establishes a time-varying parameter GARCH model to test the correlation between precious metals and financial markets in different quantiles and specific crisis period(short-term).Finally,this paper uses the optimal portfolio model to build a portfolio that includes precious metals with the function of hedging or hedging,and selects a specific period to test the effectiveness of the investment ratio.The empirical results of this paper show that: first,silver and platinum can maintain long-term value with bonds,and the long-term hedging ability of platinum is greater than that of silver.Investors can buy both in the same direction to achieve long-term risk aversion.In the portfolio,most of the funds should be allocated to bonds.Second,the short-term adjustment ability between precious metals and financial markets is weak,while the long-term sustainability is strong.Investors' perception of the price changes between the two markets in a short period of time is relatively low,and there is a certain degree of segmentation between the markets.After the long-term price discovery,the persistence of the yield between the markets is enhanced,and the dynamic relationship between them presents certain linkage.Thirdly,there is a two-way Dynamic Risk Spillover between gold and stock market,which shows that the Risk Spillover of stock market to gold is greater than that of gold to stock market,especially to the peak in crisis period;there is Risk Spillover of gold to bond market,but the Risk Spillover of bond market to gold market is very weak;the Risk Spillover of gold spot market and commodity futures market is very weak It is mainly manifested in the two-way spillover during the subprime crisis and the European debt crisis.There is a partial consistency between the risk Spillovers of silver,platinum and financial markets,and the risk Spillovers of gold and financial markets.Fourth,when the market is in a particularly extreme(extremely low yield),the hedging ability of gold is not as effective as silver and platinum,but it is effective when the market is relatively extreme(the yield is at a low level but not at a very low level).Therefore,investors should always pay attention to the financial market and choose not to For the same hedging products,timely adjust the investment strategy and optimize the portfolio.Fifthly,more precious metal assets should be allocated when the overall market is in a downturn state,and more investment should be made in the financial market when the market is in a good state.This portfolio proposal is helpful for relevant financial departments to design new investment products,so as to reduce the risk of products.The innovation of this paper lies in the following three points: first,from the perspective of investment,this paper selects three precious metals,namely gold,silver and platinum,as the research object,and chooses the stock,bond and futures markets as the representative markets of financial markets,which makes up for the problem that most literatures only study gold and single market.Secondly,this paper not only studies whether the precious metals have the function of hedging with other financial markets in the normal economic period,but also studies whether the precious metals have the hedging effect from the perspective of crisis,which extends the domestic theory on the hedging and hedging effects of precious metals on the domestic financial market.Thirdly,by using the method of optimal portfolio,this paper establishes a portfolio model with the function of hedging or hedging,and determines the specific optimal weight,which provides useful guidance for investors to determine the composition of future asset portfolio,financial institutions to design related financial products and improve the national financial market risk management system.