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Seasonality, Risk and Return in Daily Comex Gold and Silver Data 1982-2002

by on February 9, 2012

This 2006 paper examines the extent to which there is seasonality, in a GARCH framework, in a number of gold and silver series. The paper abstract states

This study examines seasonality in the conditional and unconditional mean and variance of daily gold and silver contracts over the 1982–2002 periods. Using COMEX cash and futures data, we find that the evidence is weak for the mean but strong for the variance. There appears to be a negative Monday effect in both gold and silver, across cash and futures markets. Within a GARCH framework we find that the Monday seasonal does not disappear, indicating that it is not a risk-related artefact, the Monday dummy in the variance equations being significant also. No evidence of an ARCH-in-Mean effect is found.

The paper in essence notes that there was no strong evidence of the oft found ‘monday’ effect in precious metals, unlike the findings in equity markets. Interestingly, there is some evidence for this in the variance.

The full citation for the paper is Lucey, Brian M. and Tully, Edel (2006), ‘Seasonality, Risk and Return in Daily Comex Gold and Silver Data 1982-2002′, Applied Financial Economics, 16 (4), 319-33

A downloadable copy of the paper is available.

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From → Empirical, Gold, Silver

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