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Gold and the Weekend effect. 1982.

by on October 31, 2013

This 1982 paper offers an examination of whether there was a day of the week effect present in gold in the 1970’s. They find no negative weekend effect on returns in contrast to studies at that time on foreign exchange trading. They show that the variance of returns is higher between the AM and PM fix than overnight. Some evidence of higher than average returns on Wednesday is found as well as some for negative Thursday returns.

Data: Daily AM and PM London Fixings Jan 1970 – June 1979

Methodology: OLS

Citation: Ball, Clifford A., Walter N. Torous, and Adrian E. Tschoegl. “Gold and the “weekend effect”.” Journal of Futures Markets 2.2 (1982): 175-182.

 

 

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