Seasonality, risk and return in daily COMEX gold and silver data 1982-2002

Brian Lucey and Edel Tully

Applied Financial Economics, 2006, vol. 16, issue 4, 319-333

Abstract: This study examines seasonality in the conditional and unconditional mean and variance of daily gold and silver contracts over the 1982-2002 periods. Using COMEX cash and futures data, we find that the evidence is weak 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. Within a GARCH framework we find that 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.

Date: 2006
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Working Paper: Seasonality, Risk And Return In Daily COMEX Gold And Silver Data 1982-2002 (2005)
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DOI: 10.1080/09603100500386586

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