Analyzing long and short-run relationships between complex gold and silver futures

• Main Authors: Pipattadanukul, W., Pandej Chintrakarn
• Other Authors: Mahidol University. Mahidol University International College. Business Administration Division
• Format: Article
• Language: English
• Published: 2015
• Subjects: Gold and silver futures price; Co-integration; Co-movement; Error correction model
• Online Access: https://repository.li.mahidol.ac.th/handle/123456789/10974
• Institution: Mahidol University

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, thi...