Document Type

Journal Article

Department/Unit

Department of Economics

Title

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

Language

English

Abstract

© 2015 Elsevier B.V. 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

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

Publication Date

2015

Source Publication Title

Economic Modelling

Volume

50

Start Page

200

End Page

211

Publisher

Elsevier

DOI

10.1016/j.econmod.2015.06.021

ISSN (print)

02649993

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