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    Can the relative price ratio of gold to platinum predict the Chinese stock market?

    Access Status
    Fulltext not available
    Authors
    Han, Xing
    Ruan, Xinfeng
    Tan, Yongxian
    Date
    2020
    Type
    Journal Article
    
    Metadata
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    Citation
    Han, X. and Ruan, X. and Tan, Y. 2020. Can the relative price ratio of gold to platinum predict the Chinese stock market? Pacific-Basin Finance Journal. 62: 101379.
    Source Title
    Pacific-Basin Finance Journal
    DOI
    10.1016/j.pacfin.2020.101379
    ISSN
    0927-538X
    Faculty
    Faculty of Business and Law
    School
    School of Accounting, Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/89111
    Collection
    • Curtin Research Publications
    Abstract

    In this paper, we examine whether the relative price ratio of gold to platinum (GP ratio) can predict the aggregate stock market return in the US and China. We confirm that the GP ratio is a strong predictor of US market excess return; however, it is not a reliable predictor for excess return in the Chinese stock market. The evidence highlights the limitation of relying on the GP ratio as a non-parametric, real-time return predictor, and indicates the diversification benefits of investing in the Chinese stock market.

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