دانلود رایگان مقاله آیا قیمت طلا به سهام معدن طلا نامتقارن مربوط است؟

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.

4. Concluding remarks

Prior empirical work argues that gold mining firms possess real option characteristics due to inherent managerial flexibility. If this argument is correct, a premium should be added to the valuation of a gold mining firm. In this study, we reexamine the asymmetry in the relation between gold mining share prices and the price of gold. We utilize a hitherto unconsidered statistical technique in this branch of the literature, quantile regression analysis, which is particularly well suited for the problem at hand. Furthermore, we endogenously identify structural breaks in the relation and finally, utilize data from the ETF era, which importantly has offered investors alternate ways of leveraging gold investments other than through the purchase of gold shares Therefore the analysis does not provide support for the argument that an asymmetric relation exists between the price of gold and gold mining share prices.