Is the price of gold to gold mining stocks asymmetric?

•Investigates the asymmetric relation between the prices of gold and gold mining stocks.•This implies gold firms possess real option characteristics.•Quantile regressions account for endogenously determined structural breaks in the data.•Our findings provide no support for an asymmetric relation.•Out-of-sample forecasting shows there is no causality from gold price to gold mining.

If an asymmetric relation exists between the prices of gold and gold mining stocks, then these firms possess real option characteristics, and therefore, a premium should be added to their valuation. This article examines this proposition, by firstly, using quantile regressions, which are ideally suited to examine asymmetries, and secondly, by accounting for endogenously determined structural breaks in the data. Our findings provide no support for an asymmetric relation. Furthermore, we also show that out-of-sample forecasting shows there is no causality from the gold price to the prices of those gold mining shares used in the sample.