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Stylized facts of intraday precious metals

Stylized facts of intraday precious metals
Stylized facts of intraday precious metals
This paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three subsamples to determine how high-frequency data of precious metals have developed over time. We find that over the full sample, 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 price 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 bid-ask spread 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.
Batten, Jonathan
9d9c392d-eea6-4113-8a96-759b53318af8
Lucey, Brian M.
6673ca0d-f2c1-4527-b4cb-876cdc8a04fd
Mcgroarty, Francis
693a5396-8e01-4d68-8973-d74184c03072
Peat, Maurice
ecb89709-795b-463a-ad36-419431dbd237
Urquhart, Andrew
ee369df1-95b5-4cdf-bc24-f1be77357c03
Batten, Jonathan
9d9c392d-eea6-4113-8a96-759b53318af8
Lucey, Brian M.
6673ca0d-f2c1-4527-b4cb-876cdc8a04fd
Mcgroarty, Francis
693a5396-8e01-4d68-8973-d74184c03072
Peat, Maurice
ecb89709-795b-463a-ad36-419431dbd237
Urquhart, Andrew
ee369df1-95b5-4cdf-bc24-f1be77357c03

Batten, Jonathan, Lucey, Brian M., Mcgroarty, Francis, Peat, Maurice and Urquhart, Andrew (2017) Stylized facts of intraday precious metals PLoS ONE (In Press).

Record type: Article

Abstract

This paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three subsamples to determine how high-frequency data of precious metals have developed over time. We find that over the full sample, 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 price 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 bid-ask spread 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.

Text Revised Manuscript FINAL - Accepted Manuscript
Available under License Creative Commons Attribution.
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Accepted/In Press date: 7 March 2017
Organisations: Banking & Finance

Identifiers

Local EPrints ID: 406980
URI: http://eprints.soton.ac.uk/id/eprint/406980
PURE UUID: f005d16b-f1ad-4b17-b285-23323101066a
ORCID for Francis Mcgroarty: ORCID iD orcid.org/0000-0003-2962-0927

Catalogue record

Date deposited: 29 Mar 2017 01:06
Last modified: 21 Nov 2017 05:01

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Contributors

Author: Jonathan Batten
Author: Brian M. Lucey
Author: Maurice Peat
Author: Andrew Urquhart

University divisions

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