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

Thi Hong Van Hoang*, Wing Keung Wong, Zhenzhen Zhu

*Corresponding author for this work

    Research output: Contribution to journalJournal articlepeer-review

    43 Citations (Scopus)

    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.

    Original languageEnglish
    Pages (from-to)200-211
    Number of pages12
    JournalEconomic Modelling
    Volume50
    DOIs
    Publication statusPublished - Nov 2015

    Scopus Subject Areas

    • Economics and Econometrics

    User-Defined Keywords

    • Chinese portfolios
    • Mean-risk
    • Mean-variance portfolio optimization
    • Shanghai Gold Exchange
    • Stochastic dominance

    Fingerprint

    Dive into the research topics of 'Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange'. Together they form a unique fingerprint.

    Cite this