The Evolving Relationship between Gold and Silver 1978-2003: Evidence from Dynamic Cointegration Analysis

Lucey, Brian M.; Tully, Edel

doi:10.2139/ssrn.452480

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The Evolving Relationship between Gold and Silver 1978-2003: Evidence from Dynamic Cointegration Analysis

15 Pages Posted: 20 Nov 2003

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; Jiangxi University of Finance and Economics; Abu Dhabi University - College of Business Administration; Ho Chi Minh City University of Economics and Finance

Edel Tully

Trinity College (Dublin) - School of Business Studies

Date Written: September 2003

Abstract

This paper re-examines the results of Ciner (2001), who claims that the historically stable relationship between gold and silver has broken down in the 1990's. We show, using a longer run of data, for both cash and futures, that this finding may be unwarranted. In particular we use a recursive cointegration model to extract the evolution of the relationship over a 25 year period. Our findings are that while there are periods when the relationship is weak, overall a stable relationship prevails.

Keywords: Gold, Cointegration

JEL Classification: C61, G11

Suggested Citation: Suggested Citation

Lucey, Brian M. and Tully, Edel, The Evolving Relationship between Gold and Silver 1978-2003: Evidence from Dynamic Cointegration Analysis (September 2003). Available at SSRN: https://ssrn.com/abstract=452480 or http://dx.doi.org/10.2139/ssrn.452480