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

Claire G. Gilmore, Ginette M. McManus, Rajneesh Sharma, Ahmet Tezel


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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