Is the price of gold to gold mining stocks asymmetric?

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• 作者：Jonathan A. Batten^a ; ^{jabatten@gmail.com} ; Cetin Ciner^b ; ^{cinerc@uncw.edu} ; Arman Kosedag^c ; ^{akosedag@berry.edu} ; Brian M. Lucey^d ; ^{blucey@tcd.ie}
• 关键词：Asymmetric relation ; Gold price ; Gold mining firms ; Real options ; Corporate valuation
• 刊名：Economic Modelling
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：60
• 期：Complete
• 页码：402-407
• 全文大小：239 K
• 卷排序：60

文摘

Investigates the asymmetric relation between the prices of gold and gold mining stocks. This implies gold firms possess real option characteristics. Quantile regressions account for endogenously determined structural breaks in the data. Our findings provide no support for an asymmetric relation. Out-of-sample forecasting shows there is no causality from gold price to gold mining.