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

Potrykus, Marcin; Augustynowicz, Urszula

doi:10.2478/ijme-2024-0011

References

Akhtaruzzaman, M., Boubaker, S., Lucey, B.M., Sensoy, A. (2021), Is gold a hedge or a safe-haven asset in the COVID–19 crisis? Economic Modelling, Vol. 102, p. 105588. https://doi.org/10.1016/j.econmod.2021.105588.
Open DOI Search in Google Scholar Back to article
Akhter, T., Yong, O. (2021), Can adaptive market hypothesis explain the existence of seasonal anomalies? Evidence from Dhaka stock exchange, Bangladesh, Contemporary Economics, Vol. 15(2), pp. 198–223. https://doi.org/10.5709/ce.1897-9254.444.
Open DOI Search in Google Scholar Back to article
Bassiouny, A., Kiryakos, M., Tooma, E. (2023), Examining the adaptive market hypothesis with calendar effects: International evidence and the impact of COVID-19, Global Finance Journal, Vol. 56, p. 100777. https://doi.org/10.1016/j.gfj.2022.100777.
Open DOI Search in Google Scholar Back to article
Baur, D.G. (2013), The autumn effect of gold, Research in International Business and Finance, Vol. 27(1), pp. 1–11. https://doi.org/10.1016/j.ribaf.2012.05.001.
Open DOI Search in Google Scholar Back to article
Baur, D.G., Dichtl, H., Drobetz, W., Wendt, V.S. (2020), Investing in gold – Market timing or buy-and-hold? International Review of Financial Analysis, Vol. 71, p. 101281. https://doi.org/10.1016/j.irfa.2018.11.008.
Open DOI Search in Google Scholar Back to article
Baur, D.G., Glover, K.J. (2016), The destruction of a safe haven asset? Applied Finance Letters, Vol. 1(1), pp. 8–15. https://doi.org/10.24135/afl.v1i1.5.
Open DOI Search in Google Scholar Back to article
Baur, D.G., Lucey, B.M. (2010), Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold, Financial Review, Vol. 45(2), pp. 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x.
Open DOI Search in Google Scholar Back to article
Baur, D.G., McDermott, T.K. (2010), Is gold a safe haven? International evidence, Journal of Banking and Finance, Vol. 34(8), pp. 1886–1898. https://doi.org/10.1016/j.jbankfin.2009.12.008.
Open DOI Search in Google Scholar Back to article
Blose, L.E., Gondhalekar, V. (2013), Weekend gold returns in bull and bear markets, Accounting & Finance, 53(3), pp. 609–622. https://doi.org/10.1111/j.1467-629X.2012.00497.x.
Open DOI Search in Google Scholar Back to article
Borowski, K., Łukasik, M. (2019), Analysis of selected seasonality effects in the following metal markets: Gold, silver, platinum, palladium and copper, Journal of Management and Financial Sciences, Vol. X(27), pp. 59–86. https://doi.org/10.33119/jmfs.2017.27.4.
Open DOI Search in Google Scholar Back to article
Chatzitzisi, E., Fountas, S., Panagiotidis, T. (2021), Another look at calendar anomalies, Quarterly Review of Economics and Finance, Vol. 80, pp. 823–840. https://doi.org/10.1016/j.qref.2019.04.001.
Open DOI Search in Google Scholar Back to article
Chhabra, D., Gupta, M. (2020), Market efficiency and calendar anomalies in commodity futures markets: A review. Agricultural Economics Research Review, Vol. 33(2), pp. 263–277. https://doi.org/10.5958/0974-0279.2020.00037.3.
Open DOI Search in Google Scholar Back to article
Fama, E.F. (1970), Efficient capital markets: A review of theory and empirical work: Discussion, The Journal of Finance, Vol. 25(2), p. 421. https://doi.org/10.2307/2325488.
Open DOI Search in Google Scholar Back to article
Fuksiewicz, M. (2021), An extended list of calendar anomalies in the context of the efficient market hypothesis, Zeszyty Naukowe Wyższej Szkoły Bankowej w Poznaniu, Vol. 93(2), pp. 89–101. https://doi.org/10.5604/01.3001.0015.5914.
Open DOI Search in Google Scholar Back to article
Górska, A., Krawiec, M. (2014), Analysis of calendar effects in markets of precious metals, Quantitative Methods in Economics, Vol. XV(2), pp. 392–402.
Search in Google Scholar Back to article
Investing.com. (2022), Investing.com, [19th September 2022].
Search in Google Scholar Back to article
Kinateder, H., Papavassiliou, V.G. (2021), Calendar effects in bitcoin returns and volatility, Finance Research Letters, Vol. 38, p. 101420. https://doi.org/10.1016/j.frl.2019.101420.
Open DOI Search in Google Scholar Back to article
Knight Frank Research. (2022). The Wealth Report: The Global Perspective on Prime Property & Investment, East, retrieved from https://content.knightfrank.com/research/83/documents/en/the-wealth-report-2021-7865.pdf, [19th September 2022].
Search in Google Scholar Back to article
Kumar, S. (2016), Revisiting calendar anomalies: Three decades of multicurrency evidence, Journal of Economics and Business, Vol. 86, pp. 16–32. https://doi.org/10.1016/j.jeconbus.2016.04.001.
Open DOI Search in Google Scholar Back to article
LBMA Prices and Data. (2022), https://www.lbma.org.uk/prices-and-data/precious-metal-prices#/, [19th September 2022].
Search in Google Scholar Back to article
Lo, A.W. (2004), The adaptive markets hypothesis, The Journal of Portfolio Management, Vol. 30(5), pp. 15–29. https://doi.org/10.3905/jpm.2004.442611.
Open DOI Search in Google Scholar Back to article
Lo, A.W. (2005), Reconciling efficient markets with behavioral finance: The adaptive markets hypothesis, Journal of Investment Consulting, Vol. 7(2), pp. 21–44. https://doi.org/10.1016/s0883-5403(04)00612-6.
Open DOI Search in Google Scholar Back to article
Marquering, W., Nisser, J., Valla, T. (2006), Disappearing anomalies: A dynamic analysis of the persistence of anomalies, Applied Financial Economics, Vol. 16(4), pp. 291–302. https://doi.org/10.1080/09603100500400361.
Open DOI Search in Google Scholar Back to article
Mclean, R.D., Pontiff, J. (2016), Does academic research destroy stock return predictability? Journal of Finance, Vol. 71(1), pp. 5–32. https://doi.org/10.1111/jofi.12365.
Open DOI Search in Google Scholar Back to article
MSCI. (2021). MSCI WorldIndex (USD), https://www.msci.com/www/fact-sheet/msci-world-index/05830501, [19th September 2022].
Search in Google Scholar Back to article
Naeem, M.A., Agyemang, A., Hasan Chowdhury, M.I., Hasan, M., Shahzad, S.J.H. (2022), Precious metals as hedge and safe haven for African stock markets, Resources Policy, Vol. 78, p. 102781. https://doi.org/10.1016/j.resourpol.2022.102781.
Open DOI Search in Google Scholar Back to article
Peng, X. (2020), Do precious metals act as hedges or safe havens for China’s financial markets? Finance Research Letters, Vol. 37, p. 101353. https://doi.org/10.1016/j.frl.2019.101353.
Open DOI Search in Google Scholar Back to article
Plastun, A., Bouri, E., Havrylina, A., Ji, Q. (2022), Calendar anomalies in passion investments: Price patterns and profit opportunities, Research in International Business and Finance, Vol. 61, p. 101678. https://doi.org/10.1016/j.ribaf.2022.101678.
Open DOI Search in Google Scholar Back to article
Plastun, A., Sibande, X., Gupta, R., Wohar, M.E. (2019), Rise and fall of calendar anomalies over a century, North American Journal of Economics and Finance, Vol. 49, pp. 181–205. https://doi.org/10.1016/j.najef.2019.04.011.
Open DOI Search in Google Scholar Back to article
Plastun, A., Sibande, X., Gupta, R., Wohar, M.E. (2020), Historical evolution of monthly anomalies in international stock markets, Research in International Business and Finance, Vol. 52(July 2019), p. 101127. https://doi.org/10.1016/j.ribaf.2019.101127.
Open DOI Search in Google Scholar Back to article
Potrykus, M. (2015), Investment in gold - Safe haven, hedge or source of diversification for polish investor, Nauki o Finansach = Financial Sciences, Vol. 3(24), pp. 193–207. https://doi.org/10.15611/nof.2015.3.11.
Open DOI Search in Google Scholar Back to article
Qadan, M., Aharon, D.Y., Eichel, R. (2019), Seasonal patterns and calendar anomalies in the commodity market for natural resources, Resources Policy, Vol. 63, p. 101435. https://doi.org/10.1016/j.resourpol.2019.101435.
Open DOI Search in Google Scholar Back to article
Qadan, M., Aharon, D.Y., Eichel, R. (2022), Seasonal and calendar effects and the price efficiency of cryptocurrencies, Finance Research Letters, Vol. 46(Part A), p. 102354. https://doi.org/10.1016/j.frl.2021.102354.
Open DOI Search in Google Scholar Back to article
Shanaev, S., Ghimire, B. (2021), Efficient scholars: Academic attention and the disappearance of anomalies. European Journal of Finance, Vol. 27(3), pp. 278–304. https://doi.org/10.1080/1351847X.2020.1812684.
Open DOI Search in Google Scholar Back to article
Shanaev, S., Shuraeva, A., Fedorova, S. (2022), The groundhog day stock market anomaly, Finance Research Letters, Vol. 47(Part A), p. 102641. https://doi.org/10.1016/j.frl.2021.102641.
Open DOI Search in Google Scholar Back to article
Urquhart, A., McGroarty, F. (2014). Calendar effects, market conditions and the adaptive market hypothesis: Evidence from long-run U.S. data, International Review of Financial Analysis, Vol. 35, pp. 154–166. https://doi.org/10.1016/j.irfa.2014.08.003.
Open DOI Search in Google Scholar Back to article
World Gold Council. (2022), https://www.gold.org/goldhub/data/gold-prices, [19th September 2022].
Search in Google Scholar Back to article
Xiong, X., Meng, Y., Li, X., Shen, D. (2019), An empirical analysis of the adaptive market hypothesis with calendar effects: Evidence from China, Finance Research Letters, Vol. 31, pp. 321–333. https://doi.org/10.1016/j.frl.2018.11.020.
Open DOI Search in Google Scholar Back to article

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

References

Paradigm

My account