An International Investigation of the Factors that Determine Conditional Gold Betas

Posted: 11 May 2004

See all articles by Robert W. Faff

Robert W. Faff

University of Queensland

David Hillier

University of Strathclyde - Department of Accounting and Finance

Abstract

We investigate the unconditional and conditional gold betas of four country-based gold industry portfolios. First, we document the similarity of unconditional gold betas across countries. Second, we find that the factors affecting conditional gold betas are different in the Australian and South African gold sectors relative to their North American counterparts. Only the gold bullion return volatility shows a negative association with conditional gold betas in Australian and South African gold mining firms. Moreover, gold price does not appear to play a systematic role in determining Australian or South African conditional gold betas. We discuss possible explanations for these findings.

Keywords: Stock Price Exposures, Gold Beta, International Evidence

JEL Classification: G12, G15

Suggested Citation

Faff, Robert W. and Hillier, David, An International Investigation of the Factors that Determine Conditional Gold Betas. Financial Review, Vol. 39, No. 3, August 2004. Available at SSRN: https://ssrn.com/abstract=544722

Robert W. Faff (Contact Author)

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

David Hillier

University of Strathclyde - Department of Accounting and Finance ( email )

Curran Building
100 Cathedral Street
Glasgow G4 0LN
United Kingdom
44 0141 330 4809 (Phone)
44 0141 330 4442 (Fax)

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