Work

Uncertainty-driven connectedness in global gold-mining equities: A Time–Frequency and quantile approach

Year: 2026

Type: article

Abstract: This study examines how connectedness among global gold-mining equities varies across market regimes, investment horizons, and return states, and whether gold-specific uncertainty adds information beyond gold prices and broad market volatility. The sample comprises eleven gold-mining and royalty/streaming firms listed on the NYSE, HKEX, and SSE, together with gold futures, the VIX, and the CBOE Gold ETF Volatility Index (GVZ), over 588 weekly observations from January 2015 to April 2026. The evidence points to a highly state-dependent network. Connectedness rises sharply during stress episodes and remains persistently above its pre-COVID level even after markets calm. Short-horizon spillovers dominate crisis periods, whereas longer-horizon linkages are more stable. Tail connectedness is amplified in both lower and upper return states, indicating that diversification weakens in both adverse and strongly positive market conditions. Endogenous clustering reveals a robust West–China segmentation rather than a separation between traditional miners and royalty/streaming firms; Chinese miners are persistent net receivers, while royalty/streaming firms generally act as net transmitters. Holding the miner network fixed, removing common gold-price and broad-volatility exposure lowers measured connectedness by about 17 percentage points, whereas GVZ contributes no economically meaningful incremental common factor. These findings show that gold-mining equity risk is shaped more by market segmentation, horizon-specific transmission, and shared gold/equity-market conditions than by business-model labels or a distinct gold-volatility channel. The results have implications for dynamic diversification, mining-sector financing, and systemic-risk monitoring.

Source: Resources Policy

DOI: 10.1016/j.resourpol.2026.106069

Authors: Rim El Khoury, Oguzhan Ozcelebi, Zhuhua Jiang, Seong-Min Yoon, Sang Hoon Kang

Institutions: Istanbul University, Hankuk University of Foreign Studies, Pusan National University

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,810

Funders: Ministry of Education, National Research Foundation of Korea