Precious Metals Under the Microscope: A High-Frequency Analysis

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 10.1080/14697688.2014.947313
Depositing User Prof. Dr. Angelo Ranaldo
Date Deposited 12 Jun 2014 13:18
Last Modified 23 Aug 2016 11:19
URI: https://www.alexandria.unisg.ch/publications/232130

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Citation

Caporin, Massimiliano; Ranaldo, Angelo & Velo, Gabriel G. (2014) Precious Metals Under the Microscope: A High-Frequency Analysis. Quantitative Finance, 15 (5). 743-759. ISSN 1469-7688

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https://www.alexandria.unisg.ch/id/eprint/232130
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