Is the Price of Gold to Gold Mining Stocks Asymmetric?

17 Pages Posted: 28 Apr 2016 Last revised: 23 Oct 2016

See all articles by Jonathan A. Batten

Jonathan A. Batten

RMIT University

Cetin Ciner

University of North Carolina at Wilmington

Arman Kosedag

Berry College - Department of Accounting and Finance

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Date Written: October 13, 2016

Abstract

If an asymmetric relation exists between the prices of gold and gold mining stocks, then these firms possess real option characteristics, and therefore, a premium should be added to their valuation. This article examines this proposition, by firstly, using quantile regressions, which are ideally suited to examine asymmetries, and secondly, by accounting for endogenously determined structural breaks in the data. Our findings provide no support for an asymmetric relation. Furthermore, we also show that out-of-sample forecasting shows there is no causality from the gold price to the prices of those gold mining shares used in the sample.

Keywords: Asymmetric relation; Gold price; Gold Mining Firms; Real Options; Corporate Valuation

JEL Classification: G30, G31, O13

Suggested Citation

Batten, Jonathan A. and Ciner, Cetin and Kosedag, Arman and Lucey, Brian M., Is the Price of Gold to Gold Mining Stocks Asymmetric? (October 13, 2016). Available at SSRN: https://ssrn.com/abstract=2770966 or http://dx.doi.org/10.2139/ssrn.2770966

Jonathan A. Batten

RMIT University ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria
Australia

HOME PAGE: http://https://www.rmit.edu.au/contact/staff-contacts/academic-staff/b/batten-professor-jonathan

Cetin Ciner

University of North Carolina at Wilmington ( email )

Wilmington, NC 28403
United States

Arman Kosedag

Berry College - Department of Accounting and Finance ( email )

2277 Martha Berry Hwy NW
Mount Berry, GA 30149
United States

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

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