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Do gold mining stocks behave like gold or equities? Evidence from the UK and the US

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

Abstract

In this paper, we explore if gold mining stocks behave like gold or equities in the United Kingdom and the United States. We do this by testing the dynamic interaction of gold mining stock with gold and equities, both over time and across different time horizons. It is shown that gold mining stocks are positively but not perfectly correlated with the gold at some time horizons and time periods; however, they are either loosely or not correlated with equities over different time horizons. Broadly, it appears that gold mining stocks behave more like gold. The results drawn have important implications for the hedge, diversifier, and safe haven properties of gold and gold mining stocks for multi-horizon portfolio managers.

Suggested Citation

  • Dar, Arif Billah & Bhanja, Niyati & Paul, Manas, 2019. "Do gold mining stocks behave like gold or equities? Evidence from the UK and the US," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 369-384.
    • Handle: RePEc:eee:reveco:v:59:y:2019:i:c:p:369-384
    DOI: 10.1016/j.iref.2018.10.003
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    2. Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2020. "Are there any other safe haven assets? Evidence for “exotic” and alternative assets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 614-628.
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    5. Zhu, Mingxue & Zhang, Hua & Xing, Wanli & Zhou, Xuanru & Wang, Lu & Sun, Haoyu, 2023. "Research on price transmission in Chinese mining stock market: Based on industry," Resources Policy, Elsevier, vol. 83(C).
    6. Lazzarino, Marco & Berrill, Jenny & Šević, Aleksandar, 2022. "The importance of distinguishing between precious and industrial metals when investing in mining stocks," Resources Policy, Elsevier, vol. 78(C).
    7. Shah, Adil Ahmad & Paul, Manas & Bhanja, Niyati & Dar, Arif Billah, 2021. "Dynamics of connectedness across crude oil, precious metals and exchange rate: Evidence from time and frequency domains," Resources Policy, Elsevier, vol. 73(C).
    8. 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.
    9. Wang, Qiao & Balvers, Ronald, 2021. "Determinants and predictability of commodity producer returns," Journal of Banking & Finance, Elsevier, vol. 133(C).

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    More about this item

    Keywords

    Gold mining stock; Hedge; Safe haven; Gold; Equities; Time horizons;
    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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