The seasonality of gold prices in China does the risk‐aversion level matter?

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.

Review on Efficiency and Anomalies in Stock Markets

“…There are many applications using the theory of portfolio optimization (for example, Abid et al (2009Abid et al ( , 2013Abid et al ( , 2014, Hoang et al (2015aHoang et al ( , 2015bHoang et al ( , 2018Hoang et al ( , 2019, Mroua et al (2017), Bouri et al (2018), and many others).…”

“…There are many studies that have applied stochastic dominance tests to test for market efficiency and check whether there is any anomaly in the market (for example, Fong et al (2005Fong et al ( , 2008, Wong et al (2006, Lean et al (2007Lean et al ( , 2010aLean et al ( , 2010bLean et al ( , 2013Lean et al ( , 2015, Gasbarro et al (2007Gasbarro et al ( , 2012, Wong (2007), Chiang et al (2008), Abid et al (2009Abid et al ( , 2013Abid et al ( , 2014, Qiao et al (2010Qiao et al ( , 2012Qiao et al ( , 2013, , Qiao and Wong (2015), Hoang et al (2015aHoang et al ( , 2015bHoang et al ( , 2018Hoang et al ( , 2019, Tsang et al (2016), Mroua et al (2017), Bouri et al (2018), and Valenzuela et al (2019), among others).…”

“…There are many applications of using risk measures and performance measures to test for market efficiency, and check whether there is any anomaly in the market. Examples include Sharpe (1966), Keating and Shadwick (2002), Kaplan and Knowles (2004), Broll et al (2006Broll et al ( , 2011Broll et al ( , 2015, Wong et al ( , 2018a, Leung and Wong (2008a), Fong et al (2008), Abid et al (2009Abid et al ( , 2013Abid et al ( , 2014, Qiao et al (2010Qiao et al ( , 2012Qiao et al ( , 2013, Lean et al (2010aLean et al ( , 2010bLean et al ( , 2013Lean et al ( , 2015, Homm and Pigorsch (2012), Chan et al ( , 2019aChan et al ( , 2019b, Bai et al (2013), Qiao and Wong (2015), Hoang et al (2015aHoang et al ( , 2015bHoang et al ( , 2018Hoang et al ( , 2019, Tsang et al (2016), Guo et al (2017bGuo et al ( , 2019a, Mroua et al (2017), Niu et al (2017), Bouri et al (2018), and Chow et al (2019b), among others.…”

Why Are Warrant Markets Sustained in Taiwan but Not in China?

“…A variety of interesting papers have applied the MV rule, CAPM statistics, and SD tests to examine the performance of other markets. For example, applying the SD test and other techniques, Abid et al [20] investigate the performance of different option strategies; Qiao et al [21,22] and Lean et al [23,24] evaluate the relationship between spot and futures prices; Bouri et al [25] study the role of wine investment within a portfolio of different assets; Qiao and Wong [26] and Tsang et al [27] examine whether the housing market in Hong Kong is efficient; Hoang et al [28][29][30] and Khamlichi et al [31] examine the role of gold in the diversification of portfolios; Vieito et al [32] and Zhu et al [33] investigate whether the financial crisis had any positive impacts on stock markets; Broll et al [34,35] analyse banks behaviour; Egozcue and Wong [36], Egozcue et al [37], Abid et al [38], and Lozza et al [39] examine investor behaviour in diversification; Fong et al [40,41] and Lean et al [42] study investor behaviour in stock markets; Ma and Wong [43], Alghalith et al [44], Guo et al [45], and Niu et al [46] examine different risk measures; and Chiang et al [47] and Lean et al [48] evaluate the performance of different funds.…”

Why Did Warrant Markets Close in China but Not Taiwan?

“…A variety of interesting papers have applied the MV rule, CAPM statistics, and SD tests to examine the performance of other markets. For example, applying the SD test and other techniques, Abid et al (2009) investigate the performance of different option strategies; Qiao et al (2012, 2013) and Lean et al (2010, 2015) evaluate the relationship between spot and futures prices; Bouri et al (2018) study the role of wine investment within a portfolio of different assets; Qiao and Wong (2015) and Tsang et al (2016) examine whether the housing market in Hong Kong is efficient;Hoang et al (2015aHoang et al ( , b, 2018 andKhamlichi et al (2018) examine the role of gold in the diversification of portfolios;Vieito et al (2015) andZhu et al (2018) investigate whether the financial crisis had any positive impacts on stock markets;Broll et al (2006Broll et al ( , 2015 analyse banks behaviour; Egozcue and Wong (2010), Egozcue et al (2011), Abid et al (2014), and Lozza et al (2018) examine investor behaviour in diversification;…”