Time-Varying Nature of the Hedging Attribute of the Gold Industry: An Empirical Analysis Based on the Portfolio β of China's Gold Industry (2007–2025)

Hongyi Han

doi:10.47297/wspdecWSP2515-797304.20261004

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Time-Varying Nature of the Hedging Attribute of the Gold Industry: An Empirical Analysis Based on the Portfolio β of China's Gold Industry (2007–2025)

Volume 10, Issue 4

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Time-Varying Nature of the Hedging Attribute of the Gold Industry: An Empirical Analysis Based on the Portfolio β of China's Gold Industry (2007–2025)
Time-Varying Nature of the Hedging Attribute of the Gold Industry: An Empirical Analysis Based on the Portfolio β of China's Gold Industry (2007–2025)
School of Finance, Taxation and Investment, Shanghai University of Finance and Economics, Investment-Information and Computing Science, Shanghai, 200090, China
Vol. 10, Issue 4, Pages: 20-29(2026)
Online First：29 July 2026，

Published：30 April 2026
DOI：10.47297/wspdecWSP2515-797304.20261004
Accepted：

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Han Hongyi.Time-Varying Nature of the Hedging Attribute of the Gold Industry: An Empirical Analysis Based on the Portfolio β of China's Gold Industry (2007–2025)[J].Development Economics of China,2026,10(04):20-29.
DOI：

Han Hongyi.Time-Varying Nature of the Hedging Attribute of the Gold Industry: An Empirical Analysis Based on the Portfolio β of China's Gold Industry (2007–2025)[J].Development Economics of China,2026,10(04):20-29. DOI： 10.47297/wspdecWSP2515-797304.20261004.

摘要

Abstract

As a special asset with dual attributes of commodity and finance in the global financial system

gold has long been regarded as a safe-haven option against systemic risks. However

whether the stocks of listed companies in the gold industry can fully inherit the safe-haven function of physical gold remains highly controversial in academic research and investment practice. Focusing on China's gold industry

this study selects five most representative listed companies—Shandong Gold

Zhongjin Gold

Zijin Mining

Hunan Gold and Chifeng Gold—as research samples

constructs a long-cycle industry return portfolio from 2007 to 2025

and systematically investigates the time-varying characteristics of the gold industry's β and its underlying formation logic by introducing the Rolling CAPM model

Bai-Perron multiple structural break test

driving factor regression analysis and DCC-GARCH model.The study finds that the systemic risk exposure β of the gold industry exhibits significant time-varying and state-dependent characteristics. Traditional static β estimation largely ignores the drift of risks across different market cycles

which justifies the adoption of the Rolling CAPM model in this study. Under the shocks of financial crises

geopolitical conflicts and public health emergencies

the β of the gold industry shows a significant downward trend

verifying its phased hedging attribute in extreme risk environments. Further mechanism analysis reveals that fluctuations in international gold prices

global risk aversion (VIX index) and the US dollar cycle are the core factors driving the dynamic evolution of β. The parameter estimation results of the DCC-GARCH model show that the dynamic correlation coefficient between the gold industry portfolio and the CSI 300 Index has strong inertia

and declines significantly during periods of financial crises

stock market crashes and pandemic shocks. A comparison of correlation coefficients between crisis periods and normal periods reveals that the average dynamic correlation coefficient in crisis periods is significantly lower than that in normal periods

indicating that the linkage between the gold industry and the stock market weakens in extreme risk environments

and the gold industry possesses certain phased hedging effects. The results of this study also demonstrate that the β of the gold industry has prominent dynamic characteristics: its hedging attribute is not fixed but adjusts dynamically with changes in market risk conditions

macro-financial cycles and global liquidity environments.

关键词

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