Open AccessThe Dynamics of Gold Prices, Gold Mining Stock Prices and Stock Market Prices Comovements
Author(s) -
Claire G. Gilmore,
Ginette M. McManus,
Rajneesh Sharma,
Ahmet Tezel
Publication year - 2009
Publication title -
research in applied economics
Language(s) - English
Resource type - Journals
ISSN - 1948-5433
DOI - 10.5296/rae.v1i1.301
Subject(s) - cointegration , stock (firearms) , economics , stock market , stock price , monetary economics , stock market bubble , econometrics , financial economics , materials science , paleontology , horse , series (stratigraphy) , biology , metallurgy
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