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The seasonality of gold prices in China does the risk‐aversion level matter?
Author(s) -
Hoang Thi Hong Van,
Zhu Zhenzhen,
Xiao Bing,
Wong WingKeung
Publication year - 2020
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/acfi.12396
Subject(s) - futures contract , risk aversion (psychology) , economics , investment (military) , seasonality , china , gold as an investment , monetary economics , financial economics , robustness (evolution) , econometrics , expected utility hypothesis , geography , statistics , mathematics , archaeology , biochemistry , chemistry , politics , political science , law , gene
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.