The relationship between gold futures price and stock price of gold mining companies : evidence from Hong Kong market

Abstract

This paper describes the relationship between gold futures and gold stocks with the data from the Hong Kong market and its change before and after the U.S subprime mortgage crisis, and after October 2, 2013, when NYSE Arca Gold Miners Index added these three Hong Kong gold stocks. The historical data on its three stocks and gold futures were collected through January 2, 2004 to July 31, 2014. The methodologies used include correlation and regression analysis. According to my research, we find the gold futures and gold stocks have a cointegration relationship and they have strong correlation before the U.S subprime mortgage crisis. Additionally, we find the fluctuations in gold futures heavily dominated fluctuations in gold stocks.