Abstract

http://ssrn.com/abstract=1015418
 
 

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Structure in Gold and Silver Spread Fluctuations


Jonathan A. Batten


Monash University - Department of Accounting and Finance

Cetin Ciner


University of North Carolina at Wilmington

Brian M. Lucey


Trinity College, Dublin - School of Business; Trinity College (Dublin) - Institute for International Integration Studies (IIIS); Glasgow Caledonian University - Division of Accounting & Finance; University of Ljubljana - Faculty of Economics

September 2007

HKUST Business School Research Paper No. 07-28

Abstract:     
We investigate the price spread between gold and silver trading as a futures contract on COMEX. Although the correlation between gold and silver returns during this period was high we find evidence of time varying long term dependence in the spread, with the positive dependent relationship dominant. This last finding suggests limited opportunity to profit from strategies based on mean reversion of the spread.

Number of Pages in PDF File: 13

Keywords: Long term dependence, volatility, gold silver spread, futures

JEL Classification: C22, C32, E31, F30, G15

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Date posted: September 19, 2007  

Suggested Citation

Batten, Jonathan A. and Ciner, Cetin and Lucey, Brian M., Structure in Gold and Silver Spread Fluctuations (September 2007). HKUST Business School Research Paper No. 07-28. Available at SSRN: http://ssrn.com/abstract=1015418 or http://dx.doi.org/10.2139/ssrn.1015418

Contact Information

Jonathan A. Batten (Contact Author)
Monash University - Department of Accounting and Finance ( email )
Building 11E
Clayton, Victoria 3800
Australia
Cetin Ciner
University of North Carolina at Wilmington ( email )
Wilmington, NC 28403
United States
Brian M. Lucey
Trinity College, Dublin - School of Business ( email )
The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)
Trinity College (Dublin) - Institute for International Integration Studies (IIIS) ( email )
The Sutherland Centre, Level 6, Arts Building
Trinity College
Dublin 2
Ireland
Glasgow Caledonian University - Division of Accounting & Finance ( email )
Scotland
United Kingdom
University of Ljubljana - Faculty of Economics ( email )
Kardeljeva ploscad 17
Ljubljana, 1000
Slovenia
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