The autumn effect of gold |
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Authors: | Dirk G Baur |
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Institution: | University of Technology, Sydney, Business School: Finance, Australia |
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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. |
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Keywords: | C32 G10 G11 G14 G15 L70 |
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