What moves the gold market?

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review

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Original languageEnglish
Pages (from-to)257-278
Journal / PublicationJournal of Futures Markets
Volume21
Issue number3
Publication statusPublished - Mar 2001

Abstract

In this article, we provide a detailed characterization of the intraday return volatility in gold futures contracts traded on the COMEX division of the New York Mercantile Exchange. The approach allows the study of intraday patterns, interday ARCH effects, and announcement effects in a coherent framework. We show that the intraday patterns exert a profound impact on the dynamics of return volatility. Among the 23 U.S. macroeconomic announcements, we identify employment reports, gross domestic product, consumer price index, and personal income as having the greatest impact. Finally, by appropriately filtering out the intraday patterns, we find that the high-frequency returns reveal long-memory volatility dependencies in the gold market, which have important implications on the pricing of long-term gold options and the determination of optimal hedge ratios. © 2001 John Wiley & Sons, Inc.

Citation Format(s)

What moves the gold market? / Cai, Jun; Cheung, Yan-Leung; Wong, Michael C. S.

In: Journal of Futures Markets, Vol. 21, No. 3, 03.2001, p. 257-278.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalNot applicablepeer-review