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 and Zhu Zhenzhen ()

Economic Modelling, 2015, vol. 50, issue C, 200-211

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.

Keywords: Shanghai Gold Exchange; Chinese portfolios; Mean-variance portfolio optimization; Mean-risk; Stochastic dominance (search for similar items in EconPapers)
JEL-codes: C58 G11 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (60)

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Working Paper: Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:50:y:2015:i:c:p:200-211

DOI: 10.1016/j.econmod.2015.06.021

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