The relation between gold and stocks: an analysis of severe bear markets

References

• Barden, B., Hodgson, A. and Okunev, J. (1992) Arbitrage bubbles and gold futures trading, Review of Futures Markets, 11, 323–48.
   Google Scholar
• Baur, D. G. and Lucey, B. M. (2010) Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold, The Financial Review, 45, 217–29.
   Google Scholar
• Bertus, M. and Stanhouse, B. (2001) Rational speculative bubbles in the gold futures market: an application of dynamic factor analysis, Journal of Futures Markets, 21, 79–108.
   Web of Science ®Google Scholar
• Callahan, M. T. (2003) The hedge or not to hedge. That is the question – empirical evidence from the North American gold mining industry, Financial Markets, Institutions and Instruments, 11, 271–88.
   Google Scholar
• Capie, F., Mills, T. C. and Wood, G. (2005) Gold as a hedge against the dollar, Journal of International Financial Markets, Institutions and Money, 15, 343–52.
   Google Scholar
• Carter, K. J., Affleck-Graves, J. F. and Money, A. H. (1982) Are gold shares better than gold for diversification?, Journal of Portfolio Management, 9, 52–5.
   Google Scholar
• Chua, J. and Woodward, R. S. (1982) Gold as an inflation hedge: a comparative study of six major industrial countries, Journal of Business Finance and Accounting, 9, 191–7.
   Google Scholar
• Chua, J. H., Sick, G. and Woodward, R. (1990) Diversifying with gold stocks, Financial Analysts Journal, 46, 76–9.
   Google Scholar
• Culver, S. E. and Papell, D. H. (1995) Real exchange rates under the gold standard: can they be explained by the trend break model?, Journal of International Money and Finance, 14, 539–48.
   Web of Science ®Google Scholar
• Davidson, S., Faff, R. and Hillier, D. (2003) Gold factor exposures in international asset pricing, Journal of International Financial Markets, Institutions and Money, 13, 271–89.
   Google Scholar
• Dooley, M. P., Isard, P. and Taylor, M. P. (1995) Exchange rates, country-specific shocks, and gold, Applied Financial Economics, 5, 121–9.
   Google Scholar
• Draper, P., Faff, R. W. and Hillier, D. (2006) Do precious metals shine? An investment perspective, Financial Analysts Journal, 62, 98–106.
   Web of Science ®Google Scholar
• Faff, R. and Chan, H. (1998) A multifactor model of gold industry stock returns: evidence from the Australian equity market, Applied Financial Economics, 8, 21–8.
   Google Scholar
• Faugere, C. and Van Erlach, J. (2005) The price of gold: a global required yield theory, Journal of Investing, 14, 99–111.
   Google Scholar
• Herbst, A. F. (1983) Gold versus U.S. common stocks: some evidence on inflation hedge performance and cyclical behavior, Financial Analysts Journal, 39, 66–74.
   Google Scholar
• Jaffe, J. F. (1989) Gold and gold stocks as investments for institutional portfolios, Financial Analysts Journal, 45, 53–9.
   Google Scholar
• Larsen, A. B. and McQueen, G. R. (1995) REITs, real estate, and inflation: lessons from the gold market, Journal of Real Estate Finance and Economics, 10, 285–97.
   Web of Science ®Google Scholar
• Lucey, B. M. and Tully, E. (2006) Seasonality, risk and return in daily COMEX gold and silver data 1982–2002, Applied Financial Economics, 16, 319–33.
   Google Scholar
• Machlup, F. (1961) Comments on ‘the balance of payments,’ and a proposal to reduce the price of gold, Journal of Finance, 16, 186–93.
   Web of Science ®Google Scholar
• McQueen, G. and Thorley, S. (1997) Do investors learn? Evidence from a gold market anomaly, Financial Review, 32, 501–25.
   Google Scholar
• Sherman, E. (1982) Gold: a conservative, prudent diversifier, Journal of Portfolio Management, 8, 21–7.
   Google Scholar
• Sjaastad, L. A. and Scacciavillani, F. (1996) The price of gold and the exchange rate, Journal of International Money and Finance, 15, 879–97.
   Web of Science ®Google Scholar
• Tufano, P. (1996) Who manages risk? An empirical examination of risk management practices in the gold mining industry, Journal of Finance, 51, 1097–137.
   Web of Science ®Google Scholar
• Tufano, P. (1998) The determinants of stock price exposure: financial engineering and the gold mining industry, Journal of Finance, 53, 1015–52.
   Web of Science ®Google Scholar
• Von Furstenberg, G. M. (1982) New estimates of the demand for non-gold reserves under floating exchange rates, Journal of International Money and Finance, 1, 81–96.
   Google Scholar
• Worthington, A. C. and Pahlavani, M. (2007) Gold investment as an inflationary hedge: cointegration evidence with allowance for endogenous structural breaks, Applied Financial Economics Letters, 3, 259–62.
   Google Scholar