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Psychological Barriers in Gold Prices

  • Brian Lucey
  • Raj Aggarwal

This paper examines for the first time the existence of psychological barriers in a variety of daily and intra-day gold price series. This paper uses a number of statistical procedures and presents evidence of psychological barriers in gold prices. We document that prices in round numbers act as barriers with important effects on the conditional mean and variance of the gold price series around psychological barriers. Classification-

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Paper provided by IIIS in its series The Institute for International Integration Studies Discussion Paper Series with number iiisdp053.

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Date of creation: 20 Apr 2005
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Handle: RePEc:iis:dispap:iiisdp053
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  1. Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June.
  2. De Ceuster, Marc J. K. & Dhaene, Geert & Schatteman, Tom, 1998. "On the hypothesis of psychological barriers in stock markets and Benford's Law," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 263-279, September.
  3. Dionne, Georges & Garand, Martin, 2003. "Risk management determinants affecting firms' values in the gold mining industry: new empirical results," Economics Letters, Elsevier, vol. 79(1), pages 43-52, April.
  4. 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.
  5. David Hirshleifer, 2001. "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, 08.
  6. Cyree, Ken B. & Domian, Dale L. & Louton, David A. & Yobaccio, Elizabeth J., 1999. "Evidence of psychological barriers in the conditional moments of major world stock indices," Review of Financial Economics, Elsevier, vol. 8(1), pages 73-91, June.
  7. Adrian E. Tschoegl, 1988. "The source and consequences of stop orders: A conjecture," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 83-85, 03.
  8. Koedijk, Kees G. & Stork, Philip A., 1994. "Should we care? psychological barriers in stock markets," Economics Letters, Elsevier, vol. 44(4), pages 427-432, April.
  9. Frank, Murray & Stengos, Thanasis, 1989. "Measuring the Strangeness of Gold and Silver Rates of Return," Review of Economic Studies, Wiley Blackwell, vol. 56(4), pages 553-67, October.
  10. Donaldson, R.G., 1990. "Psychological Barriers In Asset Prices, Rationality And The Efficient Market Hypothesis," Papers 114, Princeton, Department of Economics - Financial Research Center.
  11. Robert Faff & David Hillier, 2004. "An International Investigation of the Factors that Determine Conditional Gold Betas," The Financial Review, Eastern Finance Association, vol. 39(3), pages 473-488, 08.
  12. Welch, Ivo, 2000. "Herding among security analysts," Journal of Financial Economics, Elsevier, vol. 58(3), pages 369-396, December.
  13. Donaldson, R.G., 1990. "International Evidence On Psychological Barriers In Asset Prices And The Efficient Market Hypothesis," Papers 116, Princeton, Department of Economics - Financial Research Center.
  14. repec:dgr:uvatin:20030043 is not listed on IDEAS
  15. O. Beelders, 2003. "An investigation of the unconditional distribution of South African stock index returns," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 623-633.
  16. Andrei Shleifer ad Robert W. Vishny, 1995. "The Limits of Arbitrage," Harvard Institute of Economic Research Working Papers 1725, Harvard - Institute of Economic Research.
  17. James Barney Marsh, 1983. "Keynes on the Supply of Gold: A Statistical Test," Eastern Economic Journal, Eastern Economic Association, vol. 9(1), pages 7-12, Jan-Mar.
  18. repec:ner:tilbur:urn:nbn:nl:ui:12-3108716 is not listed on IDEAS
  19. Avery, Christopher & Zemsky, Peter, 1998. "Multidimensional Uncertainty and Herd Behavior in Financial Markets," American Economic Review, American Economic Association, vol. 88(4), pages 724-48, September.
  20. Bailey, Warren Bernard, 1987. " An Empirical Investigation of the Market for Comex Gold Futures Options," Journal of Finance, American Finance Association, vol. 42(5), pages 1187-94, December.
  21. Davidson, Sinclair & Faff, Robert & Hillier, David, 2003. "Gold factor exposures in international asset pricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 271-289, July.
  22. Marshall, Michael & Stengos, Thanasis, 1994. "Employing conditional variance processes to examine the market efficiency of the gold rates of return," Journal of Economics and Business, Elsevier, vol. 46(5), pages 355-365, December.
  23. Tufano, Peter, 1996. " Who Manages Risk? An Empirical Examination of Risk Management Practices in the Gold Mining Industry," Journal of Finance, American Finance Association, vol. 51(4), pages 1097-1137, September.
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