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Weekend gold returns in bull and bear markets. 2012.

by on November 1, 2013

The authors further develop the literature on whether a weekend effect is present in gold returns. Using the longest data set in the literature they also assess whether the answer is different in bull or bear markets. They show that over the full sample that weekday returns are significantly great than zero, while weekend returns while negative are not significantly different from zero, pointing to the anomaly being possibly present.

When they analyse the sub-periods weekend returns are only significantly negative in the 1980 – 2001 bear market. In the following bull period the returns are significantly positive over the weekend, but insignificant in the first bull. As only on bear market for gold is present in the sample it would interesting to see if this result is replicated when more data is available.

Data: Daily data from COMEX gold futures contracts using the front month contract. 1976 – 2011

Methodology: OLS, Skedness and Kurtosis.

Citation: Blose, Laurence E., and Vijay Gondhalekar. “Weekend gold returns in bull and bear markets.” Accounting & Finance (2012).

Abstract: This study examines the weekend effect in gold returns during bull and bear markets over the period 1975 through 2011. It shows that gold returns from close on Friday to close on Monday are significantly lower than returns during the rest of the week. This result is due largely to gold returns during bear markets. During gold bull markets, gold weekend returns are not significantly different from weekday returns. The study shows that the effect has substantial economic implications for gold investors. The effect is shown to be related to a significantly negative skewness in the weekend returns.

 

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