Volatility spillovers between stock, bond, oil, and gold with portfolio implications: Evidence from China

•We explore volatility spillovers among the gold spots, gold futures, and three financial variables (stocks, bonds, and oil) in China.•We employ multivariate VAR-CCC-GARCH and VAR-DCC-GARCH models to examine volatility spillovers among multiple variables.•We find that both Chinese gold spots and futures are not effective in hedging the fluctuations of stock, bond, and oil.•However, gold is suitable for portfolio diversification and helps reduce portfolio risk.