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

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  • Hoang, Thi-Hong-Van
  • Wong, Wing-Keung
  • Zhu, Zhenzhen

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.

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  • Hoang, Thi-Hong-Van & Wong, Wing-Keung & Zhu, Zhenzhen, 2015. "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Economic Modelling, Elsevier, vol. 50(C), pages 200-211.
    • Handle: RePEc:eee:ecmode:v:50:y:2015:i:c:p:200-211
    DOI: 10.1016/j.econmod.2015.06.021
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    More about this item

    Keywords

    Shanghai Gold Exchange; Chinese portfolios; Mean-variance portfolio optimization; Mean-risk; Stochastic dominance;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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