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Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange

descriptionPublicationkeyboard_double_arrow_right Article , Journal , Other literature type 01 Nov 2015Publisher:Elsevier BVJournal:Economic Modelling, volume 50, pages 200-211 (issn: 0264-9993,

Authors: Hoang, Thi-Hong-Van; Wong, Wing-Keung; ZHU, Zhenzhen;

doi: 10.1016/j.econmod.2015.06.021 , 10.2139/ssrn.2913334

Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange

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Abstract

Abstract This article aims to study the role of gold quoted on the Shanghai Gold Exchange in the diversification of Chinese portfolios using a mean-risk and stochastic dominance analysis. With the 2004–2014 period, our results show that in general, risk-averse investors prefer not to include gold while risk-seeking investors prefer to include it in their stock–bond portfolios, especially in crisis periods. This result is found to be time-varying but not time-frequency dependent and the inclusion of the risk-free asset does not induce relevant impacts. Furthermore, risk-seekers prefer including gold in an equal-weighted portfolio while risk-averters prefer including gold in efficient portfolios.

Related Organizations

Northeast Normal University
China (People's Republic of)
Asian University
Taiwan
Hong Kong Baptist University
China (People's Republic of)
Asian University
Taiwan
Montpellier Business School
France

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Keywords

Stochastic dominance, Mean-variance portfolio optimization, [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], Shanghai Gold Exchange, Mean-risk, Chinese portfolios, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions, JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C58 - Financial Econometrics, jel: jel:G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions, jel: jel:C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C58 - Financial Econometrics

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