Tail dependence between gold and sectorial stocks in China: Insights for portfolio diversification

• المؤلفون الرئيسيون: Beckmann, Joscha, Berger, Theo, Czudajc, Robert, Hoang, Thi-Hong-Van
• مؤلفون آخرون: Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015
• التنسيق: Conference or Workshop Item
• اللغة: English
• منشور في: Trường Đại học Kinh tế 2020
• الموضوعات: Shanghai Gold Exchange; Chinese sectorial stocks; Oil; Copulas; Portfolio implications
• الوصول للمادة أونلاين: http://repository.vnu.edu.vn/handle/VNU_123/97694

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...