The sensitivity of Australian industry equity returns to a gold price factor

Abstract

This paper investigates the extra‐market sensitivity of Australian industry equity returns to a gold price factor over the period 1975 to 1994. We find, over the full sample period, that there has been a widespread sensitivity of Australian industry returns to gold price returns, over and above market returns. The sensitivity is found to be of positive sign for resource and mining sector industries, whereas it is of negative sign for the industrials sector. Further, there appears to be a change in importance of the gold price factor over time, as reflected by a comparison of subperiod gold price sensitivity estimates