Psychological Barriers in Gold Prices
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-
|Date of creation:||20 Apr 2005|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 00 353 1 896 3888
Fax: 00 353 1 896 3939
Web page: http://www.tcd.ie/iiis/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Andrei Shleifer & Robert W. Vishny, 1995.
"The Limits of Arbitrage,"
NBER Working Papers
5167, National Bureau of Economic Research, Inc.
- Andrei Shleifer ad Robert W. Vishny, 1995. "The Limits of Arbitrage," Harvard Institute of Economic Research Working Papers 1725, Harvard - Institute of Economic Research.
- Brian Lucey & Edel Tully, 2006.
"Seasonality, risk and return in daily COMEX gold and silver data 1982-2002,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 16(4), pages 319-333.
- 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.
- 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.
- 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.
- Welch, Ivo, 2000. "Herding among security analysts," Journal of Financial Economics, Elsevier, vol. 58(3), pages 369-396, December.
- 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.
- Hentschel, Ludger & Campbell, John, 1992.
"No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns,"
3220232, Harvard University Department of Economics.
- 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.
- John Y. Campbell & Ludger Hentschel, 1991. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," NBER Working Papers 3742, National Bureau of Economic Research, Inc.
- G. Dionne & M. Garand, 2000.
"Risk Management Determinants Affecting Firms' Values in the Gold Mining Industry : New Empirical Results,"
THEMA Working Papers
2000-48, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- 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.
- Dionne, G. & Garand, M., 2000. "Risk Management Determinants Affecting Firms' Values in the Gold Mining Industry: New Empirical Results," Ecole des Hautes Etudes Commerciales de Montreal- 00-11, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
- repec:ner:tilbur:urn:nbn:nl:ui:12-3108716 is not listed on IDEAS
- 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.
- David Hirshleifer, 2001.
"Investor Psychology and Asset Pricing,"
Journal of Finance,
American Finance Association, vol. 56(4), pages 1533-1597, 08.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Donaldson, R.G., 1990. "Psychological Barriers In Asset Prices, Rationality And The Efficient Market Hypothesis," Papers 114, Princeton, Department of Economics - Financial Research Center.
- 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.
- 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.
- Joep Sonnemans, 2003. "Price Clustering and Natural Resistance Points in the Dutch Stock Market," Tinbergen Institute Discussion Papers 03-043/1, Tinbergen Institute.
When requesting a correction, please mention this item's handle: RePEc:iis:dispap:iiisdp053. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Colette Keleher)
If references are entirely missing, you can add them using this form.