Turn-of-the Year Affect in Gold Prices: Decomposition Analysis
Statistical Finance
2020-03-26 v1
Abstract
In this article, we examine whether the gold market returns show abnormally positive or negative returns in some months of the calendar year. The statistical analysis and the decomposition techniques suggest that gold prices show some seasonal behavior during the turn of the year. We observe a strong cyclical behavior in gold markets during the turn-of-the-year period. January is likely to offer the highest return whereas significant negative returns are expected in July.
Keywords
Cite
@article{arxiv.2003.11027,
title = {Turn-of-the Year Affect in Gold Prices: Decomposition Analysis},
author = {Osman Gulseven},
journal= {arXiv preprint arXiv:2003.11027},
year = {2020}
}
Comments
12 pages, 6 tables, 2 graphs. Open Access Article which can be downloaded here: http://ekonomikarastirmalar.org/index.php/UEAD/article/view/53/32