Cena złota i rynek akcji jako podstawowe determinanty kursów akcji kopalni złota
Journal Title: "Finanse" Czasopismo Komitetu Nauk o Finansach PAN - Year 2017, Vol 10, Issue 1
Abstract
The goal of the article is to assess the exposure of gold mine stock prices to changes of the gold price and the development of stock market represented by S&P 500 index between 1997 and 2016, using as measures the gold Beta and the market Beta respectively. To implement this goal, stationarity of time-series was examined by the means of augmented Dickey–Fuller test, an exponential model was constructed, cointegration test was carried out since basic time-series were non-stationary and descriptive analysis was also used. Studies have shown that in the whole period analyzed and in sub-periods (bull and bear market) the long-term relationship between considered time-series did not appear. Cointegration was recorded only in the case of two companies while taking into account the whole period analyzed and in one case for bull market period (α = 0,1). The relationship between changes in mine stock prices and market fluctuation (S&P500 index) was for these companies atypical and the deciding factor in evolution of their prices was the stock market. For the third company mine stock prices were more sensitive to changes in prices on the gold market than on the stock market. In the case of analyzed companies the relationship between gold mine stock prices and on the stock market is the long-term one. Apart from mentioned above cases cointegration did not take place. No long-run relationship was recorded and the results revealed the existence of spurious correlation. Results are crucial to investors choosing between physical gold regarded as safer in the long run, and mining stocks which prices are dependent on changes in prices on the gold and on the stock market.
Authors and Affiliations
Katarzyna Mamcarz
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