Seasonality, Risk And Return In Daily COMEX Gold And Silver Data 1982-2002

This paper examines the conditional and unconditional mean returns and variance of returns of daily gold and silver contracts over the 1982-2002 period. Despite the importance of these metals as industrial and investment products, they have received scant attention in recent years. In particular, we focus on the issue of whether there exists detectable daily seasonality in these moments. Using COMEX cash and futures data we find that under both parametric and nonparametric analysis the evidence is weak in the issue of daily seasonality 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. When the mean and variance are analysed simultaneously in a GARCH framework we note that a leveraged GARCH model provides a best fit for the data and that in framework 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. Classification-Seasonality GARCH Models, Gold, and Silver

An Analysis of the Journal Article Output of Irish-based Economists, 1970 to 2001

This paper provides, for the first time, a comprehensive analysis of the journal article output of Irish-based economists over a thirty-year period. Using EconLit data, and supplementing where necessary, we provide details of the journals wherein Irish-based economists have published, provide details of the publishing histories of high volume publishers and discuss the evolving productivity profile of Irish-based economists. Our evidence shows that in general Irish-based economists have greatly increased the levels of output in the 1990s, but that this may have been at the expense of quality.

CEE Banking Sector Co-Movement: Contagion or Interdependence?

This paper examines banking and financial sector return co-movements between the three largest Central and Eastern European countries to have recently joined the European Union, namely the Czech Republic, Hungary and Poland. In order to build up an understanding of the soundness and stability of the banking systems of these new member states, we try to determine whether it is contagion, or interdependence that is driving the co-movements between these markets. Employing various different tests of propagation and controlling for own-country news and other fundamentals, we find evidence of cross-border banking sector contagion and determine that it is regional rather than international shocks that are driving the market movements.Contagion, Macroeconomic news, Banking sector, Stock returns

Are Local or International influences responsible for the pre-holiday behaviour of Irish equities?

The preholiday behaviour of equity price and return indices on the Irish Stock Exchange do nor display consistent positive pre-holiday returns. This is contrary to the majority of studies on this area, and the result is found across a number of sectoral indices. The analysis also indicates that these curious results are driven by local, as opposed to international, influences Classification-Ireland, Non-Parametric, Stock Returns

Linkages and relationships between Emerging European and Developed Stock Markets before and after the Russian Crisis of 1997-1998

This paper examines the linkages between the Russian stock market and those of its largest neighbors in Central and Eastern Europe, and the world stock markets over the 10 year period 1995-2004. What we find is that there was a major change in the nature of these relationships after the so called Russian Crisis of 1997-1998. The nature of this change is such that we can no longer rely on the the traditional methods used to examine linkages between equity markets. Using a more appropriate set of tools we find that the major influences on the Russian stock market have become the equity markets of the European Union and the USA. There is very little evidence of influence from (or to) regional markets such as Poland or Hungary. Classification-Stock Market Integration, CEE Stock markets, Russian Stock Market, Cointegration

Psychological Barriers in Gold Prices

This paper examines for the first time the existence of psychological barriers in a variety of daily and intra-day gold price series. This paper uses a number of statistical procedures and presents evidence of psychological barriers in gold prices. We document that prices in round numbers act as barriers with important effects on the conditional mean and variance of the gold price series around psychological barriers. Classification-

The Evolving Relationship between Gold and Silver 1978-2002: Evidence from a Dynamic Cointegration Analysis: A Note Crisis of 1997-1998

Traditionally, analysts and traders have expected to see a stable, reasonably predictable, relationship between the price (and thus the rate of return) of gold and silver. Both these metals retain important industrial, commercial and investment uses. Recent research has cast some doubt on this assumption. We find that while over the 1990’s the relationship may well have been more unstable, when a longer timeframe is examined the relationship is stable but weakening. This we hypothesise is due to the changing nature of the demand patterns for gold versus silver. Classification-Cointegration, Gold

Contagion and interdependence: measuring CEE banking sector co-movements

Making use of ten years of daily data, this paper examines whether banking sector co-movements be-tween the three largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. Our tests based on simple unadjusted correlation analysis uncover evidence of conta-gion between all pairs of countries. Adjusting for market volatility during turmoil, however, produces dif-ferent results. We then find contagion from the Czech Republic to Hungary during this time, but all other cross-market co-movements are rather attributable rather to strong cross-market linkages. In addition, we construct a set of dummy variables to try to capture the impact of macroeconomic news on these markets. Controlling for own-country fundamentals, we discover that the correlations diminish between the Czech Republic and Poland, but that coefficients for all pairs remain substantial and significant. Finally, we ad-dress the problem of simultaneous equations, omitted variables and heteroskedasticity, and adjust our data accordingly. We confirm our previous findings. Our tests provide evidence in favour of parameter insta-bility, again signifying the existence of contagion arising from problems in the Czech Republic affecting Hungary during much of 1996.contagion; interdependence; macroeconomic news; banking sector; stock returns

Integration Of Smaller European Equity Markets : A Time-Varying Integration Score Analysis

The objective of this paper is to study capital market integration in smaller european countries and its implications for an international portfolio investment allocation. A time-varying analysis based on Barari (2004) suggests that the markets have recently started moving towards international financial integration. Results vary from country to country and sample countries can be broken down into distinctive groups according to their recent integration score performance: a) countries which are becoming increasingly integrated with both regional European and international equity markets (Estonia, Hungary, Czech Republic, Lithuania, Poland) b) countries which have becoming increasingly integrated with the regional market, while growing segmented with the world market (Latvia, Slovakia, Slovenia). This is an encouraging indicator in that none of the countries have been growing segmented from the European equity markets since the EU accession.Stock Market Integration, Portfolio Diversification, Smaller European markets, Time-varying methods.