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Precious Metals Under the Microscope: A High-Frequency Analysis

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  • Caporin, Massimiliano

    ()

  • Ranaldo, Angelo

    ()

  • Velo, Gabriel G.

    ()

Abstract

Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium, and platinum. We analyze the behaviors of spot prices, returns, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most active markets round-the-clock. The time series of spot returns have thus properties similar to those of traditional financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold (platinum) is the most (least) liquid and less (most) volatile asset. Commonality in liquidities of precious metals is very strong.

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Bibliographic Info

Paper provided by University of St. Gallen, School of Finance in its series Working Papers on Finance with number 1409.

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Length: 30 pages
Date of creation: 2014
Date of revision:
Handle: RePEc:usg:sfwpfi:2014:09

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Keywords: precious metals; high-frequency data; liquidity; commonality in liquidity; intradaily periodicity;

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