Structure in Gold and Silver Spread Fluctuations
Jonathan A. Batten
Monash University - Department of Accounting and Finance
University of North Carolina at Wilmington
Brian M. Lucey
Trinity College, Dublin - School of Business; Trinity College (Dublin) - Institute for International Integration Studies (IIIS); University of Ljubljana - Faculty of Economics
HKUST Business School Research Paper No. 07-28
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
Date posted: September 19, 2007
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