Abstract
Do gold prices influence gold mining stocks? In this paper, we evaluate the hypothesis that the relationship between the prices of gold and gold mining stocks should be asymmetric due to the embedded real option characteristics associated with gold mining stocks. We use the cross-quatilogram to measure the relationship, we control for the effect of crude oil price changes and overall stock market movements, and examine the relationship in fixed-window rolling subsamples. Results reveal strong support for an asymmetric relationship as we find heterogenous dependence structure across quantiles and lag orders. This result remains robust for the whole sample period, the global financial crisis subperiod, and rolling subsamples.
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