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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 16 (2006)
Issue (Month): 4 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
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.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Philippe Charlot & Vêlayoudom Marimoutou, 2014. "On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree," Working Papers hal-00980125, HAL.
- Dungey, Mardi & McKenzie, Michael & Tambakis, Demosthenes N., 2009. "Flight-to-quality and asymmetric volatility responses in US Treasuries," Global Finance Journal, Elsevier, vol. 19(3), pages 252-267.
- A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander, 2012. "Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation," Working Paper CRENoS 201214, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Jones, Travis L. & Ligon, James A., 2009. "The day of the week effect in IPO initial returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(1), pages 110-127, February.
- Brian Lucey & Raj Aggarwal, 2005.
"Psychological Barriers in Gold Prices,"
The Institute for International Integration Studies Discussion Paper Series
- Shahbaz, Muhammad & Tahir, Mohammad Iqbal & Ali, Imran, 2013. "Is Gold Investment A Hedge against Inflation in Pakistan? A Cointegtaion and Causality Analysis in the Presence of Structural Breaks," MPRA Paper 47924, University Library of Munich, Germany, revised 01 Jul 2013.
- Auer, Benjamin R. & Rottmann, Horst, 2013.
"Is there a Friday the 13th effect in ermerging Asian stock markets?,"
OTH im Dialog: Weidener Diskussionspapiere
35, University of Applied Sciences Amberg-Weiden (OTH).
- Benjamin R. Auer & Horst Rottmann, 2013. "Is there a Friday the 13th Effect in Emerging Asian Stock Markets?," CESifo Working Paper Series 4409, CESifo Group Munich.
- Takashi Miyazaki & Shigeyuki Hamori, 2013. "Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’," Applied Financial Economics, Taylor & Francis Journals, vol. 23(1), pages 27-40, January.
- Ihsan Ullah Badshah & Bart Frijns & Alireza Tourani‐Rad, 2013. "Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(6), pages 555-572, 06.
- Baur, Dirk G., 2013. "The autumn effect of gold," Research in International Business and Finance, Elsevier, vol. 27(1), pages 1-11.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.