Structure in Gold and Silver Spread Fluctuations

13 Pages Posted: 19 Sep 2007

See all articles by Jonathan A. Batten

Jonathan A. Batten

Universiti Utara Malaysia

Cetin Ciner

University of North Carolina at Wilmington

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; University of Economics Ho Chi Minh City

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)

Universiti Utara Malaysia ( email )

School of Economics, Finance and Banking
Sintok, Kedah 06010
Malaysia

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)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

University of Economics Ho Chi Minh City ( email )

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

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