Stylized facts of intraday precious metals.

PLoS ONE. 2017;12(4):e0174232 DOI 10.1371/journal.pone.0174232

 

Journal Homepage

Journal Title: PLoS ONE

ISSN: 1932-6203 (Online)

Publisher: Public Library of Science (PLoS)

LCC Subject Category: Medicine | Science

Country of publisher: United States

Language of fulltext: English

Full-text formats available: PDF, HTML, XML

 

AUTHORS

Jonathan Batten
Brian Lucey
Frank McGroarty
Maurice Peat
Andrew Urquhart

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Time From Submission to Publication: 24 weeks

 

Abstract | Full Text

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.