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The Dynamics of Gold Prices, Gold Mining Stock Prices and Stock Market Prices Comovements

DOI: 10.5296/rae.v1i1.301

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Abstract:

We examine the dynamic relationships between gold prices, stock price indices of gold mining companies and broad stock market indices. Evidence of cointegration between these variables is found. A vector error-correction model reveals that both gold and large-cap stock prices adjust to disturbances to restore the long-term relationship between the variables. Short-term unidirectional causal relationships are running from large-cap stock prices to gold mining company stock prices and from gold mining company stock prices to gold prices.

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