Structure in Gold and Silver Spread Fluctuations

13 Pages Posted: 19 Sep 2007  

Jonathan A. Batten

Monash University

Cetin Ciner

University of North Carolina at Wilmington

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Ljubljana - Faculty of 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)

Monash University ( email )

Melbourne
Australia

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 Ljubljana - Faculty of Economics ( email )

Kardeljeva ploscad 17
Ljubljana, 1000
Slovenia

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