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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oai:112.137.131.14:VNU_123-976942020-11-17T03:31:31Z Tail dependence between gold and sectorial stocks in China: Insights for portfolio diversification Beckmann, Joscha Berger, Theo Czudajc, Robert Hoang, Thi-Hong-Van Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015 Shanghai Gold Exchange Chinese sectorial stocks Oil Copulas Portfolio implications 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 2020-11-17T03:31:30Z 2020-11-17T03:31:30Z 2015 Conference Paper Beckman, J. & et all. (2015). Tail dependence between gold and sectorial stocks in China: Insights for portfolio diversification. Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015 http://repository.vnu.edu.vn/handle/VNU_123/97694 en_US 27 p. application/pdf Trường Đại học Kinh tế |
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Shanghai Gold Exchange Chinese sectorial stocks Oil Copulas Portfolio implications Beckmann, Joscha Berger, Theo Czudajc, Robert Hoang, Thi-Hong-Van Tail dependence between gold and sectorial stocks in China: Insights for portfolio diversification |
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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 |
author2 |
Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015 |
author_facet |
Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015 Beckmann, Joscha Berger, Theo Czudajc, Robert Hoang, Thi-Hong-Van |
format |
Conference or Workshop Item |
author |
Beckmann, Joscha Berger, Theo Czudajc, Robert Hoang, Thi-Hong-Van |
author_sort |
Beckmann, Joscha |
title |
Tail dependence between gold and sectorial stocks in China: Insights for portfolio diversification |
title_short |
Tail dependence between gold and sectorial stocks in China: Insights for portfolio diversification |
title_full |
Tail dependence between gold and sectorial stocks in China: Insights for portfolio diversification |
title_fullStr |
Tail dependence between gold and sectorial stocks in China: Insights for portfolio diversification |
title_full_unstemmed |
Tail dependence between gold and sectorial stocks in China: Insights for portfolio diversification |
title_sort |
tail dependence between gold and sectorial stocks in china: insights for portfolio diversification |
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Trường Đại học Kinh tế |
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2020 |
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http://repository.vnu.edu.vn/handle/VNU_123/97694 |
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1684667364769005568 |