Precious Metals under the Microscope: A High-Frequency Analysis
Forthcoming in Quantitative Finance
30 Pages Posted: 13 May 2013 Last revised: 23 Jun 2014
Date Written: January 21, 2014
Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium, and platinum. We analyze the behaviors of spot prices, returns, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most active markets round-the-clock. The time series of spot returns have thus properties similar to those of traditional financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold (platinum) is the most (least) liquid and less (most) volatile asset. Commonality in liquidities of precious metals is very strong.
Keywords: precious metals, high-frequency data, liquidity, commonality in liquidity, intradaily periodicity
JEL Classification: C58, C22, C52, G10
Suggested Citation: Suggested Citation