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Gold, gold mining stocks and equities- partial wavelet coherence evidence from developed countries

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  • Paul, Manas
  • Bhanja, Niyati
  • Dar, Arif Billah

Abstract

This paper investigates the association of gold mining stocks with gold and equities in the United Kingdom (UK) and the United States (US). The benchmark correlation matrix results are obtained using the conventional Maximal Overlap Discrete Wavelet Transform (MODWT). We augment these results by testing the co-movement over time as well as across time horizons through application of the partial wavelet coherence, which marks departure from conventional wavelet coherence approach. The results obtained are noteworthy in several respects. Gold mining stocks and gold are found to be highly coherent, whereas gold mining stocks and equities indicate weak coherence. These results are useful for multi-horizon investors seeking assets with hedge and safe-haven property.

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  • Paul, Manas & Bhanja, Niyati & Dar, Arif Billah, 2019. "Gold, gold mining stocks and equities- partial wavelet coherence evidence from developed countries," Resources Policy, Elsevier, vol. 62(C), pages 378-384.
    • Handle: RePEc:eee:jrpoli:v:62:y:2019:i:c:p:378-384
    DOI: 10.1016/j.resourpol.2019.04.012
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    More about this item

    Keywords

    Partial wavelet coherence; Gold mining stocks; Gold;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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