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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
