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

Manas Paul, Niyati Bhanja () and Arif Dar

Resources Policy, 2019, vol. 62, issue C, 378-384

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.

Keywords: Partial wavelet coherence; Gold mining stocks; Gold (search for similar items in EconPapers)
JEL-codes: C14 G12 G14 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:62:y:2019:i:c:p:378-384

DOI: 10.1016/j.resourpol.2019.04.012

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