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The seasonality of gold prices in China does the risk-aversion level matter? |
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| Authors: | Thi Hong Van Hoang Zhenzhen Zhu Bing Xiao Wing-Keung Wong |
| Institution: | 1. Montpellier Business School and Montpellier Research in Management, Montpellier, France;2. School of Statistics, Shandong University of Finance and Economics, Nanjing, China;3. CRCGM EA 38 49, Université d'Auvergne, Clermont-Ferrand, France;4. Department of Finance, Fintech Center, and Big Data Research Center, Asia University, Taichung, Taiwan
Department of Medical Research, China Medical University Hospital, Taichung, Taiwan Department of Economics and Finance, Hang Seng Management College, Hong Kong Department of Economics, Lingnan University, Tuen Mun, Hong Kong |
| Abstract: | This article aims to investigate the seasonality of gold prices at the Shanghai Gold Exchange over the 2002–2016 period. Our contributions rely in the distinction between risk-averse and risk-seeking investors regarding their investment strategies. The results show the existence of positive Monday and January effects. However, the Monday effect is more suitable to risk-seeking investors while the January effect is more suitable to risk-averse investors in bearish periods only. A robustness check shows that the Monday effect does not hold on gold futures prices. These results indicate the importance to consider the risk-aversion level of investors in seasonal investment strategies. |
| Keywords: | Calendar seasonalities Gold Mean–variance Shanghai Gold Exchange Stochastic dominance |