Tail dependence between gold and sectorial stocks in China: Insights for portfolio diversification
This article analyzes dynamics of 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 symmetric tail dependence between gold and sectorial stocks. Based on the efficient frontie...
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| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
Trường Đại học Kinh tế
2020
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| Subjects: | |
| Online Access: | http://repository.vnu.edu.vn/handle/VNU_123/97694 |
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| Institution: | Vietnam National University, Hanoi |
| Language: | English |
| Summary: | This article analyzes dynamics of 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 symmetric tail dependence between gold and sectorial stocks.
Based on the efficient frontier, optimal weight, hedge ratio and hedging effectiveness, we find
that adding gold to Chinese stock portfolios can help to reduce their risk. Gold appears to be
the most efficient with stocks of the Energy, Information, Telecommunication and Materials
sectors and the less efficient with the Utilities sector. As a robustness check, gold is compared
to oil and the results show that gold is also more efficient than oil in the diversification of
Chinese stock portfolios |
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