Seasonality, risk and return in daily COMEX gold and silver data 1982-2002
AbstractThis study examines seasonality in the conditional and unconditional mean and variance of daily gold and silver contracts over the 1982-2002 periods. Using COMEX cash and futures data, we find that the evidence is weak for the mean but strong for the variance. There appears to be a negative Monday effect in both gold and silver, across cash and futures markets. Within a GARCH framework we find that the Monday seasonal does not disappear, indicating that it is not a risk-related artefact, the Monday dummy in the variance equations being significant also. No evidence of an ARCH-in-Mean effect is found.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 16 (2006)
Issue (Month): 4 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
Other versions of this item:
- Brian Lucey & Edel Tully, 2005. "Seasonality, Risk And Return In Daily COMEX Gold And Silver Data 1982-2002," The Institute for International Integration Studies Discussion Paper Series iiisdp057, IIIS.
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- Aggarwal, Raj & Lucey, Brian M., 2007.
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