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

Potrykus, Marcin; Augustynowicz, Urszula

doi:10.2478/ijme-2024-0011

Figures & Tables

Research gap, purposes, objectives, and research questions. Source: Own elaboration. AMH, adaptive market hypothesis; ASTRO, astronomical; METEO, meteorological.

ASTRO vs. METEO seasons mean daily return of analyzed investments. Source: Own elaboration. ASTRO, astronomical; METEO, meteorological.

Descriptive statistics for the analyzed time series

Research sample	Descriptive statistic	Gold	Silver	Palladium	Platinum	MSCI	S&P 500
ALL N = 10834 (for palladium and platinum N = 8434)	Mean (x100)	0.0104	0.0028	0.0332	0.0075	0.0263	0.0316
	Std. dev.	0.0106	0.0193	0.0205	0.0139	0.0091	0.0112
	Min.	–0.1290	–0.2575	–0.1786	–0.1728	–0.1044	–0.2292
	Max.	0.1048	0.1828	0.1696	0.1173	0.0910	0.1096
	Skewness	–0.2456	–0.4978	–0.3481	–0.5072	–0.6925	–1.1612
	Kurtosis	8.4797	12.1038	7.6754	8.9385	13.3391	26.3539
DB N = 7,802	Mean (x100)	0.0115	0.0086	0.0328	0.0238	0.0265	0.0284
	Std. dev.	0.0108	0.0192	0.0206	0.0138	0.0090	0.0113
	Min.	–0.1290	–0.2575	–0.1786	–0.1728	–0.1036	–0.2292
	Max.	0.1048	0.1828	0.1584	0.1173	0.0910	0.1096
	Skewness	–0.1574	–0.3917	–0.1765	–0.5800	–0.5139	–1.2561
	Kurtosis	8.8449	11.0447	6.7748	10.7002	12.1150	29.6646
MP&UA N = 3,032	Mean (x100)	0.0077	–0.0122	0.0338	–0.0214	0.0257	0.0398
	Std. dev.	0.0098	0.0193	0.0202	0.0143	0.0095	0.0109
	Min.	–0.0960	–0.1959	–0.1568	–0.1442	–0.1044	–0.1277
	Max.	0.0513	0.1736	0.1696	0.0934	0.0841	0.0897
	Skewness	–0.5484	–0.7663	–0.6706	–0.3862	–1.0850	–0.8803
	Kurtosis	6.7287	14.7832	9.4061	6.2049	15.8141	16.1195

Regression results–monthly returns conditional on S&P500

Dependent variable	Month indepependent variable	ALL			DB			MP&UA
Dependent variable	Month indepependent variable	Coef.	t-Stat.	Sig.	Coef.	t-Stat.	Sig.	Coef.	t-Stat.	Sig.
Gold	S&P 500	–0.0058	–0.64		–0.0231	–2.13	**	0.0418	2.54	**
	Jan	0.0506	1.45		0.0156	0.37		0.1365	2.26	**
	Aug	0.0522	1.49		0.0309	0.73		0.1101	1.75	*
	Sep	0.0491	1.38		0.1119	2.62	***	–0.1227	–1.92	*
	Nov	0.0414	1.16		0.0949	2.22	**	–0.1067	–1.67	*
Silver	S&P 500	0.0252	1.53		–0.0243	–1.27		0.1622	5.05	***
	Jan	0.1076	1.69	*	0.1021	1.35		0.1212	1.03
	Jun	–0.1543	–2.41	**	–0.1696	–2.24	**	–0.1184	–0.99
	Sep	–0.0030	–0.05		0.1049	1.39		–0.2973	–2.37	**
	Nov	–0.0102	–0.16		0.0701	0.92		–0.2362	–1.89	*
Palladium	S&P 500	0.1883	9.60	***	0.1298	5.36	***	0.3047	9.12	***
	Jan	0.2210	2.89	***	0.2243	2.30	**	0.2123	1.73	*
	Feb	0.1964	2.45	**	0.2043	2.00	**	0.1751	1.36
	Aug	–0.1022	–1.34		–0.1571	–1.65	*	–0.0030	–0.02
Platinum	S&P 500	0.1099	8.22	***	0.0555	3.42	***	0.2182	9.31	***
	Jan	0.1725	3.31	***	0.1319	2.02	**	0.2374	2.76	***
	Feb	0.1373	2.51	**	0.1714	2.50	**	0.0729	0.81
	Mar	–0.0631	–1.21		0.0222	0.34		–0.2022	–2.35	**
	Jun	–0.0635	–1.22		–0.0185	–0.29		–0.1468	–1.68	*
	Sep	–0.1157	–2.18	**	–0.0570	–0.88		–0.2251	–2.46	**

F-test results for the conducted research

Sample		Investment
Sample		Gold	Silver	Palladium	Platinum
Monthly data	All	F-statistic = 0.889 p-value = 0.550 n.s.	F-statistic = 1.161 p-value = 0.308 n.s.	F-statistic = 1.920 p-value = 0.032 **	F-statistic = 2.374 p-value = 0.006 ***
	DB	F-statistic = 1.360 p-value = 0.185 n.s.	F-statistic = 1.251 p-value = 0.247 n.s.	F-statistic = 1.372 p-value = 0.179 n.s.	F-statistic = 1.436 p-value = 0.149 n.s.
	MP&UA	F-statistic = 1.800 p-value = 0.049 **	F-statistic = 1.872 p-value = 0.038 **	F-statistic = 1.055 p-value = 0.394 n.s.	F-statistic = 2.485 p-value = 0.004 ***
ASTRO Seasons data	All	F-statistic = 0.890 p-value = 0.445 n.s.	F-statistic = 0.962 p-value = 0.410 n.s.	F-statistic = 5.019 p-value = 0.002 ***	F-statistic = 2.891 p-value = 0.034 **
	DB	F-statistic = 0.717 p-value = 0.542 n.s.	F-statistic = 0.251 p-value = 0.861 n.s.	F-statistic = 4.466 p-value = 0.004 ***	F-statistic = 2.891 p-value = 0.034 **
	MP&UA	F-statistic = 2.190 p-value = 0.087 *	F-statistic = 1.595 p-value = 0.188 n.s.	F-statistic = 1.233 p-value = 0.296 n.s.	F-statistic = 0.863 p-value = 0.460 n.s.
METEO Seasons data	All	F-statistic = 0.152 p-value = 0.929 n.s.	F-statistic = 0.900 p-value = 0.440 n.s.	F-statistic = 4.569 p-value = 0.003 ***	F-statistic = 4.659 p-value = 0.003 ***
	DB	F-statistic = 1.369 p-value = 0.250 n.s.	F-statistic = 0.847 p-value = 0.468 n.s.	F-statistic = 3.295 p-value = 0.020 **	F-statistic = 2.762 p-value = 0.041 **
	MP&UA	F-statistic = 3.317 p-value = 0.019 **	F-statistic = 2.871 p-value = 0.035 **	F-statistic = 1.748 p-value = 0.155 n.s.	F-statistic = 3.670 p-value = 0.012 **

Regression results—only monthly dummies

Dependent variable	Month independent variable	ALL			DB			MP&UA
Dependent variable	Month independent variable	Coef.	t-Stat.	Sig.	Coef.	t-Stat.	Sig.	Coef.	t-Stat.	Sig.
Gold	Jan	0.0504	1.44		0.0149	0.35		0.1376	2.28	**
	Aug	0.0522	1.49		0.0309	0.73		0.1102	1.75	*
	Sep	0.0493	1.38		0.1128	2.64	***	–0.1247	–1.94	*
	Nov	0.0410	1.15		0.0936	2.19	**	–0.1022	–1.60
Silver	Jan	0.1084	1.70	*	0.1013	1.34		0.1258	1.06
	Jun	–0.1543	–2.41	**	–0.1695	–2.24	**	–0.1163	–0.97
	Jul	0.1036	1.64		0.0617	0.83		0.2087	1.76	*
	Sep	–0.0040	–0.06		0.1058	1.40		–0.3051	–2.42	**
	Nov	–0.0084	–0.13		0.0688	0.91		–0.2186	–1.74	*
Palladium	Jan	0.2232	2.90	***	0.2244	2.29	**	0.2210	1.78	*
	Feb	0.1957	2.43	**	0.2000	1.95	*	0.1884	1.45
	Jul	0.1002	1.32		0.0373	0.39		0.2109	1.70	*
	Aug	–0.1073	–1.40		–0.1628	–1.70	*	–0.0019	–0.01
Platinum	Jan	0.1738	3.32	***	0.1320	2.02	**	0.2436	2.79	***
	Feb	0.1369	2.50	**	0.1696	2.47	**	0.0825	0.90
	Mar	–0.0586	–1.12		0.0252	0.38		–0.1980	–2.27	**
	Sep	–0.1190	–2.24	**	–0.0581	–0.90		–0.2356	–2.54	**

Regression results–monthly returns conditional on MSCI World Index

Dependent variable	Month independent variable	ALL			DB			MP&UA
Dependent variable	Month independent variable	Coef.	t-Stat.	Sig.	Coef.	t-Stat.	Sig.	Coef.	t-Stat.	Sig.
Gold	MSCI	0.1147	10.34	***	0.1137	8.35	***	0.1156	6.16	***
	Jan	0.0493	1.42		0.0146	0.34		0.1344	2.24	**
	Aug	0.0533	1.53		0.0314	0.75		0.1128	1.80	*
	Sep	0.0543	1.53		0.1173	2.76	***	–0.1187	–1.86	*
	Nov	0.0340	0.96		0.0872	2.05	**	–0.1107	–1.74	*
Silver	MSCI	0.2431	12.06	***	0.2030	8.41	***	0.3337	9.12	***
	Jan	0.1060	1.68	*	0.1008	1.34		0.1164	1.00
	Jun	–0.1499	–2.35	**	–0.1646	–2.18	**	–0.1154	–0.97
	Sep	0.0065	0.10		0.1139	1.51		–0.2877	–2.32	**
	Nov	–0.0232	–0.36		0.0573	0.76		–0.2433	–1.96	**
Palladium	MSCI	0.4002	17.31	***	0.3198	10.93	***	0.5429	14.42	***
	Jan	0.2269	3.00	***	0.2345	2.42	**	0.2057	1.71	*
	Feb	0.1933	2.44	**	0.2040	2.01	**	0.1688	1.34
Platinum	MSCI	0.2678	17.00	***	0.1999	10.21	***	0.3879	14.70	***
	Jan	0.1762	3.42	***	0.1383	2.14	**	0.2327	2.76	***
	Feb	0.1353	2.51	**	0.1720	2.53	**	0.0684	0.77
	Mar	–0.0648	–1.26		0.0163	0.25		–0.1933	–2.30	**
	Jun	–0.0587	–1.14		–0.0129	–0.20		–0.1430	–1.67	*
	Sep	–0.1065	–2.04	**	–0.0494	–0.77		–0.2154	–2.40	**
	Nov	0.0085	0.16		0.0889	1.38		–0.1509	–1.69	*

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

Figures & Tables

Figure 1.

Figure 2.

Descriptive statistics for the analyzed time series

Regression results–monthly returns conditional on S&P500

F-test results for the conducted research

Regression results—only monthly dummies

Regression results–monthly returns conditional on MSCI World Index

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