 Re-examining the real option characteristics of gold for gold mining companiesSyed Jawad Hussain Shahzad, Md Lutfur Rahman, Brian Lucey and Gazi Uddin Resources Policy, 2021, vol. 70, issue C Abstract: This paper re-examines the static and time-varying asymmetries in quantile-specific relationship between gold returns and gold mining companies' stock returns. In doing so, we use novel cross-quantilogram approach that is built on quantiles of both distributions and control for the effect of crude oil price changes, overall stock market movements, stock market volatility and economic policy uncertainty. We find that the gold returns negatively predict the gold stock returns around the median quantile. Whereas the gold returns positively depend on the gold mining companies’ stock returns in the low and high quantiles. We therefore, support for an embedded real option in gold for gold mining companies which is time-varying and occurs in very short-run. This finding is useful for devising portfolio allocation and diversification strategies. Keywords: Gold price; Gold mining stock price; Asymmetric relation; Cross-quantilogram; Rolling estimation (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309211 DOI: 10.1016/j.resourpol.2020.101890 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
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