Subscribe Now Subscribe Today
Science Alert
 
FOLLOW US:     Facebook     Twitter
Blue
   
Curve Top
Journal of Applied Sciences
  Year: 2012 | Volume: 12 | Issue: 7 | Page No.: 668-674
DOI: 10.3923/jas.2012.668.674
 
Facebook Twitter Digg Reddit Linkedin StumbleUpon E-mail
Analyzing Long and Short-run Relationships Between Comex Gold and Silver Futures
W. Pipattadanukul and P. Chintrakarn

Abstract:
The objective of this research was to study the relationship between gold and silver futures in COMEX market by using daily data from 6th of May, 1991 to 6th of May, 2011. There were 5520 observations. To investigate the short run and long run relationships between gold and silver futures price, this study employed unit root test, co-integration test and error correction model. If there are short-run and long-run relationships between gold and silver futures prices, it implied that gold can be used as a predictor to forecast the silver as well. It will provide an opportunity to market participants, investors, hedgers, arbitragers and speculators. The traders can use this relation between gold and silver futures price as trading strategy in order to diversify risk in the portfolio. Speculators can use this information to predict returns and make the investment strategies. Hedgers can use these markets as substitutes against the similar type of risks in a period of time. The empirical results revealed that there is a robust positive relationship between gold and silver future prices in the long run. For the short run relationship, change in the silver futures price significantly affects the gold futures price and vice versa.
PDF Fulltext XML References Citation Report Citation
 RELATED ARTICLES:
  •    Determinants of Portfolio Flows to Ghana: A Dynamic Stochastic General Equilibrium Analysis
  •    Stock Market Indices and Investment Funds. An Empirical Approach in the Spanish and European Context
  •    Financial Market Integration in Asia: Empirical Analysis on Selected Asian Stock Index Futures Markets
  •    Enhanced Stutzer Index Optimization Using Hybrid Genetic Algorithm and Sequential Quadratic Programming
How to cite this article:

W. Pipattadanukul and P. Chintrakarn, 2012. Analyzing Long and Short-run Relationships Between Comex Gold and Silver Futures. Journal of Applied Sciences, 12: 668-674.

DOI: 10.3923/jas.2012.668.674

URL: https://scialert.net/abstract/?doi=jas.2012.668.674

 
COMMENT ON THIS PAPER
 
 
 

 

 
 
 
 
 
 
 
 
 

 
 
 
 
 
 
 

       

       

Curve Bottom