Stylized Facts of Intraday Precious Metal Returns

29 Pages Posted: 2 Feb 2016

See all articles by Jonathan A. Batten

Jonathan A. Batten

RMIT University

Brian M. Lucey

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

Frank McGroarty

University of Southampton - Southampton Business School

Maurice Peat

The University of Sydney; Financial Research Network (FIRN)

Andrew Urquhart

ICMA Centre, Henley Business School

Date Written: February 2, 2016

Abstract

Given the increased attention of precious metals by investors and the finance literature as well as the growth of high frequency trading, the behaviour of intraday precious metal markets is of great interest and importance. Therefore, this paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency of gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three sub-samples to determine how high-frequency data of precious metals have developed over time. We find that over the full sample period that the number of trades has increased substantially over time for each precious metal while the bid-ask spread has narrowed over time, indicating an increase in liquidity and efficiency. We also find strong evidence of periodicity in returns, volatility, volume and bid-ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and closing of major markets around the world while the BAS is at its lowest when European markets are open. We also show a bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples.

Keywords: Precious metals; High-frequency; Intraday periodicity; Correlation; Gold; Silver; Platinum; Palladium

JEL Classification: G02; G12

Suggested Citation

Batten, Jonathan A. and Lucey, Brian M. and McGroarty, Frank and Peat, Maurice and Urquhart, Andrew, Stylized Facts of Intraday Precious Metal Returns (February 2, 2016). Available at SSRN: https://ssrn.com/abstract=2726505 or http://dx.doi.org/10.2139/ssrn.2726505

Jonathan A. Batten

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

Brian M. Lucey (Contact Author)

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

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

Frank McGroarty

University of Southampton - Southampton Business School ( email )

Southampton, SO17 1BJ
United Kingdom

Maurice Peat

The University of Sydney ( email )

University of Sydney
Sydney, NSW 2006
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Andrew Urquhart

ICMA Centre, Henley Business School ( email )

University of Reading
Whiteknights
Reading, Berkshire RG6 6BA
United Kingdom

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