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 journalArticlepeer-review

32 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 - 1 Nov 2015

Scopus Subject Areas

  • Economics and Econometrics

User-Defined Keywords

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

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