Structure in Gold and Silver Spread Fluctuations

13 Pages Posted: 19 Sep 2007

See all articles by Jonathan A. Batten

Jonathan A. Batten

RMIT University

Cetin Ciner

University of North Carolina at Wilmington

Brian M. Lucey

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

Date Written: September 2007

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.

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

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

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: https://ssrn.com/abstract=1015418 or http://dx.doi.org/10.2139/ssrn.1015418

Jonathan A. Batten (Contact Author)

RMIT University ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria
Australia

HOME PAGE: http://https://www.rmit.edu.au/contact/staff-contacts/academic-staff/b/batten-professor-jonathan

Cetin Ciner

University of North Carolina at Wilmington ( email )

Wilmington, NC 28403
United States

Brian M. Lucey

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen D├Čnh Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

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