The Evolving Relationship between Gold and Silver 1978-2002: Evidence from a Dynamic Cointegration Analysis: A Note

21 Pages Posted: 9 Jun 2005

See all articles by Edel Tully

Edel Tully

Trinity College (Dublin) - School of Business Studies

Brian M. Lucey

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

Date Written: January 2005

Abstract

Traditionally, analysts and traders have expected to see a stable, reasonably predictable, relationship between the price (and thus the rate of return) of gold and silver. Both these metals retain important industrial, commercial and investment uses. Recent research has cast some doubt on this assumption. We find that while over the 1990's the relationship may well have been more unstable, when a longer timeframe is examined the relationship is stable but weakening. This we hypothesize is due to the changing nature of the demand patterns for gold versus silver.

Keywords: Cointegration, gold

JEL Classification: C61, G11

Suggested Citation

Tully, Edel and Lucey, Brian M., The Evolving Relationship between Gold and Silver 1978-2002: Evidence from a Dynamic Cointegration Analysis: A Note (January 2005). IIIS Discussion Paper No. 55. Available at SSRN: https://ssrn.com/abstract=739646 or http://dx.doi.org/10.2139/ssrn.739646

Edel Tully

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

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

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 )

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Sydney, NSW 2006
Australia

University of Economics Ho Chi Minh City ( email )

59C Nguyen D├Čnh Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

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