The autumn effect of gold

被引：38

作者：

Baur, Dirk G. ^{[1
]}

机构：

[1] Univ Technol Sydney, Business Sch Finance, Ultimo, NSW, Australia

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2013年 / 27卷 / 01期

关键词：

Seasonality; Anomaly; Halloween effect; Gold; Silver; Hedge; Safe haven; Jewelery;

D O I：

10.1016/j.ribaf.2012.05.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：1 / 11

页数：11

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