Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/170672
Authors: 
Beckmann, Joscha
Berger, Theo
Czudaj, Robert
Hoang, Thi-Hong-Van
Year of Publication: 
2017
Series/Report no.: 
Chemnitz Economic Papers 012
Abstract: 
This article analyzes the relationship between gold quoted on the Shanghai Gold Exchange and Chinese sectorial stocks from 2009 to 2015. Using different copulas, our results show that there is weak but significant tail dependence between gold and Chinese sectorial stock returns. This means that the dependence between extreme movements of the two assets is not pronounced and confirms the role of gold as a safe haven asset. Based on analyzing the efficient frontier, CCCGARCH optimal weights, hedge ratios and hedging effectiveness, we further show that adding gold into Chinese stock portfolios can help to reduce their risk. Gold appears to be the most efficient diversifier for stocks of the materials sector and the less efficient for the utilities sector. As a robustness check, we also compare gold to oil and indicate that gold is more efficient than oil in the diversification of Chinese stock portfolios.
Subjects: 
Shanghai Gold Exchange
Chinese sectorial stocks
oil
copulas
portfolio implications
JEL: 
G11
C58
Document Type: 
Working Paper

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