Advertise | Bookmark | Contact Us | E-Mail List |  | Update Page | UraniumSeek.com 

Commentary : Gold Review : Markets : News Wire : Quotes : Silver : Stocks - Main Page 

 GoldSeek.com >> News >> Story  Disclaimer 
 
Latest Headlines

GoldSeek Radio: Peter Grandich and Arch Crawford, and Chris Waltzek
By: radio.GoldSeek.com

Open the pod door HAL
By: Larry LaBorde

Gold Market Update
By: Clive Maund

Data-Dependent ... on Imaginary Data
By: John Mauldin

What the Markets Have in Common with the Film 'Casablanca'
By: Michael Ballanger

Gold: Another Month, Another Test Of Key Resistance – But This Time With A Difference
By: John Rubino

Macro Update: 1 Week Later Risk Remains 'On' as 2 of 3 Amigos Ride On
By: Gary Tanashian

The Idea that Stocks are in a Bubble is Absurd
By: Gary Savage

Gold Seeker Weekly Wrap-Up: Gold and Silver Gain Over 2% on the Week
By: Chris Mullen, Gold Seeker Report

5 reasons why commodities are the place to be in 2018
By: Richard (Rick) Mills

 
Search

GoldSeek Web

 
Intraday Precious Metal Returns – Latest Research


 -- Published: Tuesday, 2 February 2016 | Print  | Disqus 

Some interesting research looking at intraday precious metal returns has just been published by Brian Lucey, Jonathan Batten, Maurice Peat, Frank McGroarty and Andrew Urquhart in a paper entitled “Stylized Facts Of Intraday Precious Metal Returns”.

intraday_precious metals

The authors note in the paper that has just been published on the Social Science Research Network (SSRN) website, that

“Precious metals are some of the most traded assets worldwide and they also play an important role for investor as well as comprising an important asset for central banks. Given the increased attention precious metals have received in the literature, the intraday dynamics are of great interest.”

They conclude that

“Initially, we show that the volume of trades of precious metals has increased substantially over the last 15 years’ while the bid-ask spread has decreased indicating the increase in efficiency and liquidity of precious metal markets. We also show strong evidence of intraday periodicity of precious metals volume of trades and volatility.

The intraday volume has increased over time, while the intraday bid-ask spread has decreased over time.

We also study interaction between volatility and returns of each precious metal and our correlation analysis shows that returns are negatively correlated with the contemporaneous volatility and the previous 5-minute volatility.

Furthermore, we find bi-directional Granger causality between volatility and returns suggesting that past volatility (returns) offers significant explanatory power in explaining current returns (volatility).”

The paper can be found here


Precious Metal Prices

2 Feb: USD 1,123.60, EUR 1,029.65 and GBP 780.01 per ounce
1 Feb: USD 1,122.00, EUR 1,032.86 and GBP 785.60 per ounce
29 Jan: USD 1,112.90, EUR 1,019.89 and GBP 776.84 per ounce
28 Jan: USD 1,119.00, EUR 1,026.14 and GBP 781.59 per ounce
27 Jan: USD 1,116.50, EUR 1,027.14 and GBP 781.04 per ounce

Mark O’Byrne

Research Director

www.GoldCore.com


| Digg This Article
 -- Published: Tuesday, 2 February 2016 | E-Mail  | Print  | Source: GoldSeek.com

comments powered by Disqus



 



Increase Text SizeDecrease Text SizeE-mail Link of Current PagePrinter Friendly PageReturn to GoldSeek.com

 news.goldseek.com >> Story

E-mail Page  | Print  | Disclaimer 


© 1995 - 2017



GoldSeek.com Supports Kiva.org

© GoldSeek.com, Gold Seek LLC

The content on this site is protected by U.S. and international copyright laws and is the property of GoldSeek.com and/or the providers of the content under license. By "content" we mean any information, mode of expression, or other materials and services found on GoldSeek.com. This includes editorials, news, our writings, graphics, and any and all other features found on the site. Please contact us for any further information.

Live GoldSeek Visitor Map | Disclaimer

The views contained here may not represent the views of GoldSeek.com, its affiliates or advertisers. GoldSeek.com makes no representation, warranty or guarantee as to the accuracy or completeness of the information (including news, editorials, prices, statistics, analyses and the like) provided through its service. Any copying, reproduction and/or redistribution of any of the documents, data, content or materials contained on or within this website, without the express written consent of GoldSeek.com, is strictly prohibited. In no event shall GoldSeek.com or its affiliates be liable to any person for any decision made or action taken in reliance upon the information provided herein.