Seasonality, Risk and Return in Daily Comex Gold and Silver Data 1982-2002

39 Pages Posted: 1 Jun 2005

See all articles by Brian M. Lucey

Brian M. Lucey

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

Edel Tully

Trinity College (Dublin) - School of Business Studies

Date Written: June 2005

Abstract

This paper examines the conditional and unconditional mean returns and variance of returns of daily gold and silver contracts over the 1982-2002 period. Despite the importance of these metals as industrial and investment products, they have received scant attention in recent years. In particular, we focus on the issue of whether there exists detectable daily seasonality in these moments. Using COMEX cash and futures data we find that under both parametric and nonparametric analysis the evidence is weak in the issue of daily seasonality for the mean but strong for the variance. There appears to be a negative Monday effect in both gold and silver, across cash and futures markets. When the mean and variance are analyzed simultaneously in a GARCH framework we note that a leveraged GARCH model provides a best fit for the data and that in framework the Monday seasonal does not disappear, indicating that it is not a risk-related artefact, the Monday dummy in the variance equations being significant also. No evidence of an ARCH-in-Mean effect is found.

Keywords: Gold, Silver, GARCH, Seasonality, Day-of-the-week

JEL Classification: C30, G12, L61

Suggested Citation

Lucey, Brian M. and Tully, Edel, Seasonality, Risk and Return in Daily Comex Gold and Silver Data 1982-2002 (June 2005). IIIS Discussion Paper No. 57. Available at SSRN: https://ssrn.com/abstract=733103 or http://dx.doi.org/10.2139/ssrn.733103

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

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University of Sydney Business School ( email )

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Australia

University of Economics Ho Chi Minh City ( email )

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Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Edel Tully

Trinity College (Dublin) - School of Business Studies ( email )

AAP College Green
Dublin 2
Ireland
+353 1 608 1552 (Phone)

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