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Volatility in the gold futures market
Batten, Jonathan Andrew; Lucey, Brian M. - In: Applied economics letters 17 (2010) 1/3, pp. 187-190
Persistent link: https://www.econbiz.de/10003946265
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Stylized Facts of Intraday Precious Metal Returns
Batten, Jonathan A. - 2016
examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency of gold …, volatility, volume and bid-ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and … bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples …
Persistent link: https://www.econbiz.de/10012999879
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Return and Volatility Spillovers in Industrial Metals
Lucey, Brian M. - 2013
particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over … a 20 year period, showing the evolution of volatility spillovers and identifying the source of same …
Persistent link: https://www.econbiz.de/10013071939
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Behavioral Influences in Non-Ferrous Metals Prices
Cummins, Mark; Lucey, Brian M.; Dowling, Michael M. - Institute for International Integration Studies (IIIS), … - 2014
Recent research has identified the presence of behavioral influences on traders in predominantly professionally traded markets such as oil, gold, and foreign exchange. Previous research had largely confined behavioral-based investigations to equity markets due to an assumption that noise traders...
Persistent link: https://www.econbiz.de/10011097629
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Who Sets the Price of Gold? London or New York?
Hauptfleisch, Martin - 2016
We investigate which of the two main centers of gold trading — the London spot market and the New York futures market — plays a more important role in setting the price of gold. Using intraday data during a 17-year period we find that although both markets contribute to price discovery, the...
Persistent link: https://www.econbiz.de/10013004735
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Bitcoin Futures - What Use are They?
Corbet, Shaen - 2018
spot volatility has increased following the announcement of the futures contracts, the futures contracts are not an …
Persistent link: https://www.econbiz.de/10012916662
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Skewness and Asymmetry in Futures Returns and Volumes
Lucey, Brian M. - 2009
In this paper we investigate the distribution of futures market returns and volumes. A variety of contracts are selected from agriculture, foreign exchange, industrial, equity, and interest rate market sectors. Daily closing prices and volumes are used to construct two series of data...
Persistent link: https://www.econbiz.de/10012721705
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Behavioral Influences in Non-Ferrous Metals Prices
Cummins, Mark - 2014
Recent research has identified the presence of behavioral influences on traders in predominantly professionally traded markets such as oil, gold, and foreign exchange. Previous research had largely confined behavioral-based investigations to equity markets due to an assumption that noise traders...
Persistent link: https://www.econbiz.de/10013044102
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Rationality in Precious Metals Forward Markets : Evidence of Behavioural Deviations in the Gold Markets
Aggarwal, Raj - 2014
We offer the first examination of whether the gold forward rate is an unbiased predictor of the future gold spot rate. We find strong evidence that it is not, particularly at longer maturities. Building on Aggarwal and Zong's (2008) approach to allow for investor risk aversion, we then examine...
Persistent link: https://www.econbiz.de/10013053946
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The forward exchange rate bias puzzle is persistent : evidence from stochastic and nonparametric cointegration tests
Aggarwal, Raj; Lucey, Brian M.; Mohanty, Sunil - In: The financial review : the official publication of the … 44 (2009) 4, pp. 625-645
Persistent link: https://www.econbiz.de/10003899958