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

• Main Authors: Beckmann, Joscha, Berger, Theo, Czudajc, Robert, Hoang, Thi-Hong-Van
• 其他作者: Hội thảo quốc tế Ngân hàng và Tài chính thế giới 2015
• 格式: Conference or Workshop Item
• 語言: English
• 出版: Trường Đại học Kinh tế 2020
• 主題: Shanghai Gold Exchange; Chinese sectorial stocks; Oil; Copulas; Portfolio implications
• 在線閱讀: 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...