| Item Type |
Journal paper
|
| 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. |
| Authors |
Caporin, Massimiliano; Ranaldo, Angelo & Velo, Gabriel G. |
| Journal or Publication Title |
Quantitative Finance |
| Language |
English |
| Keywords |
precious metals, high-frequency data, liquidity, commonality in liquidity,
intradaily periodicity |
| Subjects |
business studies |
| HSG Classification |
contribution to scientific community |
| Refereed |
Yes |
| Date |
8 July 2014 |
| Publisher |
Routledge |
| Volume |
15 |
| Number |
5 |
| Page Range |
743-759 |
| Number of Pages |
17 |
| ISSN |
1469-7688 |
| Publisher DOI |
https://doi.org/10.1080/14697688.2014.947313 |
| Depositing User |
Prof. Dr. Angelo Ranaldo
|
| Date Deposited |
12 Jun 2014 13:18 |
| Last Modified |
20 Jul 2022 17:20 |
| URI: |
https://www.alexandria.unisg.ch/publications/232130 |
Precious Metals Under the Microscope: A High-Frequency Analysis
