Turn-of-the Year Affect in Gold Prices: Decomposition Analysis

Osman Gulseven

Papers from arXiv.org

Abstract: In this article, we examine whether the gold market returns show abnormally positive or negative returns in some months of the calendar year. The statistical analysis and the decomposition techniques suggest that gold prices show some seasonal behavior during the turn of the year. We observe a strong cyclical behavior in gold markets during the turn-of-the-year period. January is likely to offer the highest return whereas significant negative returns are expected in July.

Date: 2020-03
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Published in International Journal of Economic Studies, 2(3), 1-12 (2016)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2003.11027

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