Gold stocks, the gold price and market timing

Gwilym, Owain ap; Clare, Andrew; Seaton, James; Thomas, Stephen

doi:10.1057/jdhf.2011.16

Cited by 5 publications

(2 citation statements)

References 12 publications

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“…Mishra et al (2010) have shown a positive relation between gold prices and equity markets in India, and also confirmed that both equity returns and gold prices are essential for predicting each other. Gwilym et al (2011) have conducted an important research on the association of equity returns and changes in gold prices and explicated the illustrative influence of gold rates with respect to future return to gold investment. Samadi et al (2012) studied the causal relationship between inflation, gold price, oil prices, exchange rate, and equity returns of the Tehran Stock Exchange.…”

Section: Literature Reviewmentioning

confidence: 99%

Estimation of causal relationship between world gold prices and KSE 100 index: Evidence from Johansen cointegration technique

Ahmed

Vveinhardt

2018

Acta Oeconomica

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The aspiration of this research paper is to investigate the impact of international gold prices on the equity returns of Karachi Stock Index (KSE100 index) of Pakistan Stock Exchange. The daily observations from January 1, 2000 – June 30, 2016 have been divided into three sub-periods along with the full sample period on the basis of structural breaks. Descriptive analysis used to calculate the average returns, which showed significant returns of KSE100 for the full sample, the first and the third sample periods as compared to gold returns. Standard deviation depicted the higher volatility in all the sample periods. Correlation analysis has shown an inverse relationship amid equity returns and gold returns, whereas, Philips-Perron and Augmented Dickey-Fuller tests have been employed, and time series data became stationary after taking the first difference. Johansen cointegration results have shown that the series are cointegrated in the full-sample and the first sample periods. Thus, this has demonstrated the long run association amid equity returns and gold returns in the first sub-sample and the full-sample periods. However, the second and the third sub-sample periods do not exhibit long-term association amid equity returns of KSE100 and gold returns. The outcomes of Granger causality approach identified bidirectional causation amid equity returns and gold returns in the full sample period in lag 2, and unidirectional causality has been observed from gold prices to stock prices in the full sample and the first sub-sample periods in lag 1 and lag 2 respectively.

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Section: Literature Reviewmentioning

confidence: 99%

Estimation of causal relationship between world gold prices and KSE 100 index: Evidence from Johansen cointegration technique

Ahmed

Vveinhardt

2018

Acta Oeconomica

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“…However, the sensitivity of gold stocks to the gold price is not constant. Tufano (1998) documents that there is substantial cross‐sectional and times series variation in the gold betas of the gold mining companies (see also Gwilym et al, 2011). He proposes a theoretical model where the gold price exposure is negatively related to the gold price, the gold price volatility, the diversification (i.e., the extent to which the firm has activities except for mining), and the hedging activities, and positively related to the amount of financial leverage and the firm size.…”

Section: Introductionmentioning

confidence: 99%

New evidence on commodity stocks

Daskalaki

2021

Journal of Futures Markets

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This paper investigates whether commodity‐related equities (commodity stocks) should be included in investors' portfolios. In light of the recent financialization of commodity futures markets, it examines the diversification benefits derived from investing in commodity stocks and compares them with those derived from commodity futures. The empirical evidence indicates that over the prefinancialization period, commodity futures provide superior diversification benefits whereas over the postfinancialization period, commodity stock investing is more profitable. Further analysis on the relationship between commodity futures and stock markets reveals that the investor can use price‐based signals from futures markets to achieve high commodity stock returns.

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A deep comprehensive model for stock price prediction

Salemi Mottaghi,

Haghir Chehreghani

2023

J Ambient Intell Human Comput

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Gold stocks, the gold price and market timing

Cited by 5 publications

References 12 publications

Estimation of causal relationship between world gold prices and KSE 100 index: Evidence from Johansen cointegration technique

Estimation of causal relationship between world gold prices and KSE 100 index: Evidence from Johansen cointegration technique

New evidence on commodity stocks

A deep comprehensive model for stock price prediction

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