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Gold price risk and the returns on gold mutual funds

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  • Blose, Laurence E.

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  • Blose, Laurence E., 1996. "Gold price risk and the returns on gold mutual funds," Journal of Economics and Business, Elsevier, vol. 48(5), pages 499-513, December.
    • Handle: RePEc:eee:jebusi:v:48:y:1996:i:5:p:499-513
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    1. Salant, Stephen W & Henderson, Dale W, 1978. "Market Anticipations of Government Policies and the Price of Gold," Journal of Political Economy, University of Chicago Press, vol. 86(4), pages 627-648, August.
    2. G. Geoffrey Booth & Fred R. Kaen & Peter E. Koveos, 1982. "Persistent Dependence In Gold Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 5(1), pages 85-93, March.
    3. Blose, Laurence E. & Shieh, Joseph C. P., 1995. "The impact of gold price on the value of gold mining stock," Review of Financial Economics, Elsevier, vol. 4(2), pages 125-139.
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    8. Miller, Merton H & Upton, Charles W, 1985. "The Pricing of Oil and Gas: Some Further Results," Journal of Finance, American Finance Association, vol. 40(3), pages 1009-1018, July.
    9. Cheung, Yin-Wong & Lai, Kon S, 1993. "Do Gold Market Returns Have Long Memory?," The Financial Review, Eastern Finance Association, vol. 28(2), pages 181-202, May.
    10. Solt, Michael E & Swanson, Paul J, 1981. "On the Efficiency of the Markets for Gold and Silver," The Journal of Business, University of Chicago Press, vol. 54(3), pages 453-478, July.
    11. Akgiray, Vedat, et al, 1991. "Conditional Dependence in Precious Metal Prices," The Financial Review, Eastern Finance Association, vol. 26(3), pages 367-386, August.
    12. Murray Frank & Thanasis Stengos, 1989. "Measuring the Strangeness of Gold and Silver Rates of Return," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 56(4), pages 553-567.
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    14. Michael Hoel, 1978. "Resource Extraction, Uncertainty, and Learning," Bell Journal of Economics, The RAND Corporation, vol. 9(2), pages 642-645, Autumn.
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    16. Farrow, Scott, 1985. "Testing the Efficiency of Extraction from a Stock Resource," Journal of Political Economy, University of Chicago Press, vol. 93(3), pages 452-487, June.
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    Cited by:

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    2. Tsolas, Ioannis E., 2014. "Precious metal mutual fund performance appraisal using DEA modeling," Resources Policy, Elsevier, vol. 39(C), pages 54-60.
    3. Ghazali, Mohd Fahmi & Lean, Hooi Hooi & Bahari, Zakaria, 2015. "Sharia compliant gold investment in Malaysia: Hedge or safe haven?," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 192-204.
    4. Troster, Victor & Bouri, Elie & Roubaud, David, 2019. "A quantile regression analysis of flights-to-safety with implied volatilities," Resources Policy, Elsevier, vol. 62(C), pages 482-495.
    5. Blose, Laurence E., 2010. "Gold prices, cost of carry, and expected inflation," Journal of Economics and Business, Elsevier, vol. 62(1), pages 35-47, January.
    6. Mohd Fahmi Ghazali & Hooi Hooi Lean & Zakaria Bahari, 2019. "Does Gold Investment Offer Protection Against Stock Market Losses? Evidence From Five Countries," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 275-301, August.
    7. Lazzarino, Marco & Berrill, Jenny & Šević, Aleksandar, 2022. "The importance of distinguishing between precious and industrial metals when investing in mining stocks," Resources Policy, Elsevier, vol. 78(C).
    8. Shafiee, Shahriar & Topal, Erkan, 2010. "An overview of global gold market and gold price forecasting," Resources Policy, Elsevier, vol. 35(3), pages 178-189, September.
    9. Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2019. "Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification," Empirical Economics, Springer, vol. 56(3), pages 1117-1144, March.
    10. Abdelbari El Khamlichi & Thi Hong Van Hoang & Wing‐keung Wong, 2016. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," Post-Print hal-02965765, HAL.
    11. Hoang, Thi-Hong-Van & Lean, Hooi Hooi & Wong, Wing-Keung, 2015. "Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 98-108.
    12. Naeem, Muhammad Abubakr & Qureshi, Fiza & Arif, Muhammad & Balli, Faruk, 2021. "Asymmetric relationship between gold and Islamic stocks in bearish, normal and bullish market conditions," Resources Policy, Elsevier, vol. 72(C).
    13. Charoula Daskalaki, 2021. "New evidence on commodity stocks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 811-874, June.
    14. Hoang, Thi-Hong-Van & Zhu, Zhenzhen & El Khamlichi, Abdelbari & Wong, Wing-Keung, 2019. "Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis," Resources Policy, Elsevier, vol. 61(C), pages 617-626.
    15. Faff, Robert & Chan, Howard, 1998. "A test of the intertemporal CAPM in the Australian equity market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 175-188, June.
    16. Ntim, Collins G. & English, John & Nwachukwu, Jacinta & Wang, Yan, 2015. "On the efficiency of the global gold markets," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 218-236.
    17. Nelson Areal & Benilde Oliveira & Raquel Sampaio, 2015. "When times get tough, gold is golden," The European Journal of Finance, Taylor & Francis Journals, vol. 21(6), pages 507-526, April.
    18. Mukti KHETAN & Vijay KUMAR & Kalandi Charan PRADHAN & Mohd. Aziz SHAIKH & Mohd. ARSHAD, 2024. "Forecasting gold price and inflation for India and US: An analysis of ARIMA and Holt Winters models," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(639), S), pages 255-268, Summer.
    19. Ntantamis, Christos & Zhou, Jun, 2015. "Bull and bear markets in commodity prices and commodity stocks: Is there a relation?," Resources Policy, Elsevier, vol. 43(C), pages 61-81.
    20. Victor Fang & Chien-Ting Lin & Warren Poon, 2007. "An examination of Australian gold mining firms’ exposure over the collapse of gold price in the late 1990s," Accounting Research Journal, Emerald Group Publishing, vol. 15(2), pages 37-49, June.

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