This paper studies the exposure of Australian gold-mining firms to changes in the gold price, the stock market and the Australian dollar - US dollar exchange rate. The empirical analysis uses daily, weekly and monthly data of all gold-mining firms in the S&P/ASX All Ordinaries Gold Index for the...

In this paper we analyze the influence of currency movements on the value of Australian firms listed on the S&P/ASX 100 index for a period from 1980 - 2010 using daily, weekly, monthly and quarterly returns. The study estimates unconditional and conditional, time-varying and asymmetric, exchange...

This paper analyzes the long-run relationship between gold and silver prices. We closely follow Escribano and Granger (1998) and extend their study. First, we use a 40-year sample period from 1970-2010 and examine the existence and stability of a long-run relationship between gold and silver...

Gold has been a store of value for centuries and a safe haven for investors in the past decades. However, the increased investment in gold for speculative or hedging purposes has changed the safe haven property. We demonstrate theoretically and empirically that investor behaviour has the...

In this paper we use a test developed by Phillips et al. (2011) to identify a bubble in the gold market. We find that the price of gold followed an explosive price process between 2002 and 2012 interrupted only briefly by the subprime crisis in 2008. We also provide a theoretical foundation for...

We estimate quantile autoregression (QAR) models to analyze variations in the autoregressive coefficients of 55 international stock index returns and demonstrate that it is important to allow the autoregressive parameters to vary with quantiles. The empirical results identify distinctively...

The copula function defines the degree of dependence and the structure of dependence. This paper proposes an alternative framework to decompose the dependence using quantile regression. It is demonstrated that the methodology provides a detailed picture of dependence including asymmetric and...

In this paper we analyze the link between stock market performance and macroe conomic performance for a large number of countries. We study the short-run and long-run relationships and find that stock market returns do not coherently predict future macroeconomic changes for the majority of...

We study two different safe haven assets, US government bonds and gold, and examine how the price changes of these assets can be used to infer investor behavior under uncertainty. We find that investors are ambiguity-averse, that is they buy gold when faced with extreme uncertainty about the...