The “autumn effect” in the gold market—does it contradict the Adaptive Market Hypothesis?

Potrykus Marcin () and Augustynowicz Urszula
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Potrykus Marcin: Faculty of Management and Economics, Gdańsk University of Technology, Gdańsk, Poland
Augustynowicz Urszula: SGH Warsaw School of Economics, Warsaw, Poland

International Journal of Management and Economics, 2024, vol. 60, issue 3, 157-172

Abstract: The present study aims to verify the autumn effect in the gold market, first presented 10 years ago by Dirk Baur in the paper “The autumn effect of gold” and to investigate the calendar effects occurring for other precious metals. This empirical research is presented in a way to place the results obtained in the context of the Efficient Market Hypothesis (EMH) and the more current Adaptive Market Hypothesis (AMH). The study was conducted as an extended reproduction of the Baur study. The main conclusion is that, the autumn effect on the gold market has been reversed and replaced by the winter effect, which is linked to the AMH. An equally interesting calendar effect was observed for silver. Platinum and palladium saw an increase in prices in January, but given the patterns in the gold market, it is very likely that this phenomenon will also change over time.

Keywords: investing; calendar effect; precious metals (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:ijomae:v:60:y:2024:i:3:p:157-172:n:1001

DOI: 10.2478/ijme-2024-0011

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