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

Author

Listed:
  • 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)

  • Wing-Keung Wong

    (HKBU - Hong Kong Baptist University)

  • Zhenzhen Zhu

    (School of Mathematics and Statistics, Northeast Normal University)

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.

Suggested Citation

  • Thi-Hong-Van Hoang & Wing-Keung Wong & Zhenzhen Zhu, 2015. "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Post-Print hal-02010732, HAL.
    • Handle: RePEc:hal:journl:hal-02010732
    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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