TY - JOUR
T1 - What moves the gold market?
AU - Cai, Jun
AU - Cheung, Stephen Y L
AU - Wong, Michael C.S.
N1 - Copyright:
Copyright 2005 Elsevier Science B.V., Amsterdam. All rights reserved.
PY - 2001/3
Y1 - 2001/3
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=0035625111&partnerID=8YFLogxK
U2 - 10.1002/1096-9934(200103)21:3<257::AID-FUT4>3.0.CO;2-W
DO - 10.1002/1096-9934(200103)21:3<257::AID-FUT4>3.0.CO;2-W
M3 - Journal article
AN - SCOPUS:0035625111
SN - 0270-7314
VL - 21
SP - 257
EP - 278
JO - Journal of Futures Markets
JF - Journal of Futures Markets
IS - 3
ER -