黃金一直被視為避險及避風港，但自從2005年之後，甚至經歷2008年金融海嘯之後，黃金價格變動程度非常大，恐已不再具有避險及避風港之特性。根據Baur and McDermott (2010)，本文研究10種金屬ETF及3種金屬綜合指數ETF在14種股票市場中是否具有避險或避風港特性。結果發現，在避險效果中，以黃金ETF表現最佳，在較多市場中存在避險特性；在股票市場中，以日本股票市場有較多的金屬ETF存在避險效果。當市場發生極端變動時，黃金ETF能在14個股票市場中提供較多市場安全的避風港；在股票市場中，以道瓊工業指數、日經225指數、香港恆生指數有較多的金屬ETF能提供一個避風港的特性。 Gold has always been regarded as a hedge and a safe haven until 2005, even after financial crisis in 2007, the degree of gold price changes very large, which may not have the characteristic of hedge or safe haven. According to the model used by Baur and McDermott(2010), This study investigates whether ten metal ETFs and three metal composite index ETFs relative to fourteen stock market index can be a hedge or a safe haven. The results show that gold ETFs have the best performance in the hedging effect. It can provide more markets hedging effect in ten metal ETFs and three metal composite index ETFs. In the stock markets, Japan''s stock market index have more metal ETFs to provide hedging effect in fourteen stock market index, and gold ETFs can provide more markets safe havens in fourteen stock markets as protecting assets tools when the market in extreme situation,. In the stock markets, The DJIA, Nikkei225 and VHSI index have more metal ETFs to provide safe havens.
