What moves the gold market?

Author(s)
Author(s)
Cai, J.
Wong, M. C. S.
Date Issued
2001
Publisher
John Wiley & Sons
Journal
The Journal of Futures Markets
Volume
21
Issue
3
Start page
257
End page
278
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.
URI
DOI
SFU Affiliated Publication
No
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