Quantile causality between gold commodity and gold stock prices

Juan Reboredo and Andrea Ugolini

Resources Policy, 2017, vol. 53, issue C, 56-63

Abstract: We found mixed evidence regarding quantile causality from gold commodity to gold stock returns for global, regional and individual country gold stock price indices. More specifically, gold prices Granger-caused Australian gold stock returns in all quantiles, but there was no quantile causality for either gold stock returns for companies located in the Europe-Middle East-Africa regions or the upper quantiles of companies located in America. In contrast, we found consistent evidence of quantile causality from gold stock returns to gold prices. These results would indicate that gold price shocks do not translate directly into wealth shocks for gold companies and that investors and risk managers could use the information regarding gold commodity and gold stock prices to improve decision making.

Keywords: Gold; Gold mining stocks; Quantile regression; Granger non-causality (search for similar items in EconPapers)
JEL-codes: C12 C58 G10 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420716304081
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:53:y:2017:i:c:p:56-63

DOI: 10.1016/j.resourpol.2017.05.013

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().