Gold, gold mining stocks and equities- partial wavelet coherence evidence from developed countries

Paul, Manas; Bhanja, Niyati; Dar, Arif Billah

doi:10.1016/j.resourpol.2019.04.012

Cited by 19 publications

(5 citation statements)

References 33 publications

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“…Thus, this sort of studies could have relevant implications for short- and long-run investments. Paul et al (2019) study interrelations over time and across time horizons between Gold mining stocks with Gold and equities in UK and US, applying the conventional MODWT wavelet approach. They find interesting results to manage multi-horizon investing portfolios.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Thus, the “short-run“ and ”long-run“ terms are considered to be fundamental in modelling the complex relationships between these financial variables. In this regard, wavelets decompose time series data at different scales and can reveal relationships not evident in the aggregate data ( Maghyereh et al, 2019 , Mishra et al, 2019 , Paul et al, 2019 , Maghyereh and Abdoh, 2020 , Rehman, 2020 , Rehman and Kang, 2020 ; Živkov, Gajić-Glamočlija, et al , 2020; Živkov, Kuzman, et al , 2020; Berger and Czudaj, 2020 , Bhatia et al, 2020 , Dai et al, 2020 , Lim, 2020 , Mensi et al, 2020 , Sun et al, 2021 , Ghosh et al, 2021 , Karim et al, 2021 , Khraief et al, 2021 ).…”

Section: Introductionmentioning

confidence: 99%

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Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

Esparcia

Jareño²,

Umar³

2022

The North American Journal of Economics and Finance

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Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

Esparcia

Jareño²,

Umar³

2022

The North American Journal of Economics and Finance

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“…Dar, Bhanja and Paul (2019) investigated correlations of gold mining stocks on gold and equity prices in the US and the UK and found strong positive relationship existing up to some time points in the datasets while weak relationship exists in another period. The authors, in Paul, Bhanja and Dar (2019) further investigated the co-movement among those assets using convectional Maximal Overlap Discrete Wavelet Transform correlation matrix with partial wavelet coherence. The results showed high coherence of gold price and gold mining stocks, while the gold price and gold mining stocks are weakly coherent.…”

Section: Introductionmentioning

confidence: 99%

Gold and silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach

Yaya

Olayinka

2021

Resources Policy

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The present paper investigates the long-run relationships between daily prices, stocks and fear gauges of gold and silver by employing an updated fractional cointegrating framework, that is, the Fractional Cointegrating Vector Autoregression (FCVAR). The initial unit root tests results indicate that the series are I(d)s with values of d around 1 in all cases, and these are homogenous in the paired cointegrating series. Evidence of cointegration is found in the three pairs (prices, stocks and market gauge indices), while these cointegrations are only time-varying in the case of market gauge indices for the commodities. The fact that cointegration exists in prices and stocks of gold and silver implies the possibility that gold and silver prices and stocks can interchangeably be used to access the performances of the commodity markets, with the recommendation that the two commodities are not to be traded in the same portfolio.

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“…Lucey and O'Connor (2017) questioned the ability of gold mining stocks to act as a safe haven instrument since gold price is leading the gold mining stock. Paul et al (2019) provides evidence for a positive correlation between gold and gold stocks. According to him, there is high coherency between gold and gold stocks, whereas it behaves independent of equity price resulting in diversification benefits of gold and gold stocks.…”

Section: Literature Reviewmentioning

confidence: 93%

A Comparative Analysis on the Role and Market Linkages of Gold Backed Assets During COVID-19 Pandemic

Madhavan

Sreejith

2022

Sci. Ann. Econ. Bus.

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Gold is a traditional favorite investment avenue for investors all over the globe, particularly during the crisis period. Irrespective of the nature of the crisis, investors are allocating their funds to different gold-backed assets. This paper uses various globally traded gold-backed assets to identify its role and market linkages during the Covid 19 pandemic. Daily prices of assets from March 2020 to January 2022 were employed. DCC GARCH model is used to ascertain time-varying correlations and quantile regression was employed to examine the relationship between assets in different quantiles. Based on the analysis, safe haven property of all the assets is revealed and it is associated with the severity of the stock market crash as specified by the quantiles. Moreover, double exposure of gold mining stock results in different flights to quality. Co-movement of gold bullion, gold futures, and gold volatility index is visible during this crisis. Gold Exchange Traded Funds and gold-backed cryptocurrency offer diversification by decoupling with gold bullion in the portfolio. The paper highlights the importance of the choice of gold-backed assets along with gold bullion in the investment portfolio based on its role and market linkages.

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Gold, gold mining stocks and equities- partial wavelet coherence evidence from developed countries

Cited by 19 publications

References 33 publications

Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

Gold and silver prices, their stocks and market fear gauges: Testing fractional cointegration using a robust approach

A Comparative Analysis on the Role and Market Linkages of Gold Backed Assets During COVID-19 Pandemic

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