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Do gold mining stocks behave like gold or equities? Evidence from the UK and the US

Arif Dar (), Niyati Bhanja () and Manas Paul

International Review of Economics & Finance, 2019, vol. 59, issue C, 369-384

Abstract: In this paper, we explore if gold mining stocks behave like gold or equities in the United Kingdom and the United States. We do this by testing the dynamic interaction of gold mining stock with gold and equities, both over time and across different time horizons. It is shown that gold mining stocks are positively but not perfectly correlated with the gold at some time horizons and time periods; however, they are either loosely or not correlated with equities over different time horizons. Broadly, it appears that gold mining stocks behave more like gold. The results drawn have important implications for the hedge, diversifier, and safe haven properties of gold and gold mining stocks for multi-horizon portfolio managers.

Keywords: Gold mining stock; Hedge; Safe haven; Gold; Equities; Time horizons (search for similar items in EconPapers)
JEL-codes: C14 G12 G14 (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:eee:reveco:v:59:y:2019:i:c:p:369-384