Title: Flight to quality: Gold mining shares versus gold bullion
Authors: Dirk Baur - UWA Business School (Australia)
Philipp Prange - Zeppelin University (Germany) [presenting]
Karsten Schweikert - University of Hohenheim (Germany)
Abstract: Using the co-movement of gold mining shares with the price of gold, the strength of flight to quality and the severity of financial shocks are assessed by distinguishing between flight to physical gold and flight to gold mining companies. The analysis of a global sample of gold mining companies reveals that flights to quality are very different across financial shocks with the bankruptcy of Lehman Brothers and the Brexit vote being the most extreme at opposite ends of the spectrum. We also find evidence that a flight from gold mining shares leads to a stronger price reaction and thus safe haven effect of gold bullion. The findings demonstrate that gold mining companies can enrich our understanding of the flight to quality phenomenon.