Precious Metals Under the Microscope: A High-Frequency Analysis
Journal
Quantitative Finance
ISSN
1469-7688
Type
journal article
Date Issued
2014-07-08
Author(s)
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.
Language
English
Keywords
precious metals
high-frequency data
liquidity
commonality in liquidity
intradaily periodicity
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Routledge
Volume
15
Number
5
Start page
743
End page
759
Pages
17
Subject(s)
Division(s)
Eprints ID
232130