Overnight versus day returns in gold and gold related assets

Laurence E. Blose (), Vijay Gondhalekar and Alan Kort
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Laurence E. Blose: Grand Valley State University
Vijay Gondhalekar: Grand Valley State University
Alan Kort: Fifth Third Bank Investment Management Group

Journal of Economics and Finance, 2018, vol. 42, issue 3, No 6, 526-549

Abstract: Abstract Overnight returns are significantly positive while day returns are significantly negative in the COMEX gold front futures contract, the gold spot market (London Fix), gold mining company stocks, and gold related closed end mutual funds and exchange traded funds. The findings are consistent with gold price being (too) high at the opening of the various markets. The asymmetry is shown to be present in both up and down markets for gold. The results are economically important even with transaction costs.

Keywords: Gold price; Market efficiency; Gold mutual fund; Gold (search for similar items in EconPapers)
JEL-codes: G12 G13 G19 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s12197-017-9403-0

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