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Can the relative price ratio of gold to platinum predict the Chinese stock market?

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  • Han, Xing
  • Ruan, Xinfeng
  • Tan, Yongxian

Abstract

In this paper, we examine whether the relative price ratio of gold to platinum (GP ratio) can predict the aggregate stock market return in the US and China. We confirm that the GP ratio is a strong predictor of US market excess return; however, it is not a reliable predictor for excess return in the Chinese stock market. The evidence highlights the limitation of relying on the GP ratio as a non-parametric, real-time return predictor, and indicates the diversification benefits of investing in the Chinese stock market.

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  • Han, Xing & Ruan, Xinfeng & Tan, Yongxian, 2020. "Can the relative price ratio of gold to platinum predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
    • Handle: RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20301104
    DOI: 10.1016/j.pacfin.2020.101379
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    Cited by:

    1. Demirer, Riza & Gabauer, David & Gupta, Rangan & Nielsen, Joshua, 2024. "Gold, platinum and the predictability of bubbles in global stock markets," Resources Policy, Elsevier, vol. 90(C).
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    3. Lee, Chien-Chiang & Lee, Hsiang-Tai, 2023. "Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model," Global Finance Journal, Elsevier, vol. 55(C).

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