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Price discovery in strategically-linked markets: the case of the gold-silver spread

  • Bahram Adrangi
  • Arjun Chatrath
  • Rohan Christie David
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    Using 15 minute intraday data, we analyse the price discovery process among the strategically-linked gold and silver futures contracts and examine the role of the intermarket spread in their price dynamics. The multivariate model employed allows for intermarket volatility spillover and asymmetric-spread effects on the variance and covariance of the two contracts. The data suggest that the silver contract bears the majority of the burden of convergence to the gold-silver spread. This evidence is noteworthy since the silver contract was by far the more volatile of the two contracts over the period studied.

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    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 10 (2000)
    Issue (Month): 3 ()
    Pages: 227-234

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    Handle: RePEc:taf:apfiec:v:10:y:2000:i:3:p:227-234
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