A multifactor model of gold industry stock returns: evidence from the Australian equity market. 1998.
Faff and Chan (1998) look at Australian gold mining stocks between 1979 and 1997 using monthly data to examine their relationship to Aussie and US dollar gold prices, market returns, foreign exchange rates and interest rates. Only the market return and gold prices are found to be important with interest rates (at various maturities) and the trade weighted value of the Aussie dollar not adding to the explanatory power of the regressions.
The stocks have a Beta of greater than one in many of the periods and all are statistically significantly greater than 0, showing that they do not provide the same hedge against stock markets that gold itself does. Coefficients on the stocks exposure to gold prices (in both currencies) is greater than zero and is approximately 0.75 over the full period examined, showing the stocks to be less volatile than the price of gold.
This develops what we already knew about US based gold stocks here in Blose and Shieh (1995).
Ref: Faff, Robert, and Howard Chan. “A multifactor model of gold industry stock returns: evidence from the Australian equity market.” Applied Financial Economics 8.1 (1998): 21-28.