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

• Autores: B.M. Lucey, Edel Tully
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 16, Nº. 4, 2006, págs. 319-333
• Idioma: inglés
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• Resumen

  • 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 waek 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.