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Precious Metals Under the Microscope: A High-Frequency Analysis

Massimiliano Caporin, Angelo Ranaldo and Gabriel G. Velo ()

No 1409, Working Papers on Finance from University of St. Gallen, School of Finance

Abstract: Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium, and platinum. We analyze the behaviors of spot prices, returns, volume, and selected liquidity measures. We find clear evidence of periodic patterns matching the trading hours of the most active markets round-the-clock. The time series of spot returns have thus properties similar to those of traditional financial assets with fat tails, asymmetry, periodic behaviors in the conditional variances, and volatility clustering. The gold (platinum) is the most (least) liquid and less (most) volatile asset. Commonality in liquidities of precious metals is very strong.

Keywords: precious metals; high-frequency data; liquidity; commonality in liquidity; intradaily periodicity (search for similar items in EconPapers)
JEL-codes: C22 C52 C58 G10 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2014-01
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (1)

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Journal Article: Precious metals under the microscope: a high-frequency analysis (2015) Downloads
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