What moves the gold market?

Jun Cai*, Stephen Y L CHEUNG, Michael C.S. Wong

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

108 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)257-278
Number of pages22
JournalJournal of Futures Markets
Volume21
Issue number3
DOIs
Publication statusPublished - Mar 2001

Scopus Subject Areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

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