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 Zhenzhen Zhu
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Thi-Hong-Van Hoang: MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier
Zhenzhen Zhu: School of Mathematics and Statistics, Northeast Normal University

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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)
Date: 2015-11
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Citations: View citations in EconPapers (57)

Published in Economic Modelling, 2015, 50, pp.200-211. ⟨10.1016/j.econmod.2015.06.021⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02010732

DOI: 10.1016/j.econmod.2015.06.021

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