EconPapers    
Economics at your fingertips  
 

The autumn effect of gold

Dirk Baur (dirk.baur@uwa.edu.au)

Research in International Business and Finance, 2013, vol. 27, issue 1, 1-11

Abstract: This paper studies recurring annual events potentially introducing seasonality into gold prices. We analyze gold returns for each month from 1980 to 2010 and find that September and November are the only months with positive and statistically significant gold price changes. This “autumn effect” holds unconditionally and conditional on several risk factors. We argue that the anomaly can be explained with hedging demand by investors in anticipation of the “Halloween effect” in the stock market, wedding season gold jewelery demand in India and negative investor sentiment due to shorter daylight time. The autumn effect can also be characterized by a higher unconditional and conditional volatility than in other seasons.

Keywords: Seasonality; Anomaly; Halloween effect; Gold; Silver; Hedge; Safe haven; Jewelery (search for similar items in EconPapers)
JEL-codes: C32 G10 G11 G14 G15 L70 (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (27)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531912000323
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:27:y:2013:i:1:p:1-11

DOI: 10.1016/j.ribaf.2012.05.001

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).

 
Page updated 2024-12-28
Handle: RePEc:eee:riibaf:v:27:y:2013:i:1:p:1-11