An international investigation of the factors that determine conditional gold betas

Robert Faff, David Hillier

Research output: Contribution to journalArticleResearchpeer-review

17 Citations (Scopus)

Abstract

We investigate the unconditional and conditional gold betas of four country-based gold industry portfolios. First, we document the similarity of unconditional gold betas across countries. Second, we find that the factors affecting conditional gold betas are different in the Australian and South African gold sectors relative to their North American counterparts. Only the gold bullion return volatility shows a negative association with conditional gold betas in Australian and South African gold mining firms. Moreover, gold price does not appear to play a systematic role in determining Australian or South African conditional gold betas. We discuss possible explanations for these findings. © 2004 Blackwell Publishing Ltd.
Original languageEnglish
Pages (from-to)473-488
Number of pages16
JournalFinancial Review
Volume39
Issue number3
DOIs
Publication statusPublished - 1 Jan 2004

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