The autumn effect of gold

Baur, DG

The autumn effect of gold

Baur, DG

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Research in International Business and Finance, 2013, 27 (1), pp. 1 - 11
Issue Date:: 2013-01

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Field	Value	Language
dc.contributor.author	Baur, DG	en_US
dc.date.issued	2013-01	en_US
dc.identifier.citation	Research in International Business and Finance, 2013, 27 (1), pp. 1 - 11	en_US
dc.identifier.issn	0275-5319	en_US
dc.identifier.uri	http://hdl.handle.net/10453/23416
dc.description.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.	en_US
dc.publisher	Elsevier	en_US
dc.relation.ispartof	Research in International Business and Finance	en_US
dc.relation.isbasedon	10.1016/j.ribaf.2012.05.001	en_US
dc.subject.classification	Finance	en_US
dc.title	The autumn effect of gold	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	27	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	1	en_US
pubs.volume	27	en_US

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.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/23416