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

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  • Brian Lucey
  • Edel Tully

Abstract

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 weak 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.

Suggested Citation

  • Brian Lucey & Edel Tully, 2006. "Seasonality, risk and return in daily COMEX gold and silver data 1982-2002," Applied Financial Economics, Taylor & Francis Journals, vol. 16(4), pages 319-333.
    • Handle: RePEc:taf:apfiec:v:16:y:2006:i:4:p:319-333
    DOI: 10.1080/09603100500386586
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