Precious Metals under the Microscope: A High-Frequency Analysis

30 Pages Posted: 13 May 2013 Last revised: 23 Jun 2014

See all articles by Massimiliano Caporin

Massimiliano Caporin

University of Padua - Department of Statistical Sciences

Angelo Ranaldo

University of St. Gallen; University of St. Gallen - School of Finance

Gabriel G. Velo

University of Padua - Department of Economics

Date Written: January 21, 2014

Abstract

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

Caporin, Massimiliano and Ranaldo, Angelo and Velo, Gabriel G., Precious Metals under the Microscope: A High-Frequency Analysis (January 21, 2014). University of St. Gallen, School of Finance Research Paper No. 2014/9; Forthcoming in Quantitative Finance. Available at SSRN: https://ssrn.com/abstract=2263927 or http://dx.doi.org/10.2139/ssrn.2263927

Massimiliano Caporin (Contact Author)

University of Padua - Department of Statistical Sciences ( email )

Via Battisti, 241
Padova, 35121
Italy

Angelo Ranaldo

University of St. Gallen ( email )

Swiss Institute of Banking and Finance s/bf-HSG
Unterer Graben 21
St. Gallen, 9000
Switzerland
+41712247010 (Phone)

HOME PAGE: http://www.sbf.unisg.ch/Lehrstuehle/Lehrstuhl_Ranaldo/Homepage_Ranaldo.aspx

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland

Gabriel G. Velo

University of Padua - Department of Economics ( email )

via Del Santo 33
Padova, 35123
Italy

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