Superstitious seasonality in precious metals markets? Evidence from GARCH models with time-varying skewness and kurtosis

Benjamin R. Auer

Applied Economics, 2015, vol. 47, issue 27, 2844-2859

Abstract: In this article, we analyse whether the Friday the 13th effect documented by Kolb and Rodriguez (1987) can be observed in precious metals markets. Specifically, we use dummy-augmented GARCH models to investigate the impact of this specific calendar day on the conditional means of gold, silver, palladium and platinum returns. The specification of the GARCH model follows a flexible class recently proposed by Le t al. (2005) that incorporates time-varying skewness and kurtosis by applying a Gram-Charlier series expansion of the normal density function. Our results for the period from July 1996 to August 2013 provide three important insights. First, there is no evidence that human superstition regarding bad luck Fridays affects precious metals markets in a negative way, i.e. returns on Fridays the 13th are not significantly lower than on regular Fridays. Second, besides showing robustness in a variety of settings, we can confirm this main result in a sensitivity check, where we replace the dummy variables by a new measure of investor attention, recently promoted by Da et al. (2011), that is based on Google search volumes. Third, as an important by-product of our study, we can show that there is significant evidence of time-varying skewness and kurtosis in precious metals returns.

Date: 2015
References: View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2015.1011308 (text/html)
Access to full text is restricted to subscribers.

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:taf:applec:v:47:y:2015:i:27:p:2844-2859

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2015.1011308

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().