ANALYSIS OF CALENDAR EFFECTS IN MARKETS OF PRECIOUS METALS

• Authors: Monika Krawiec , Anna Górska
• Languages of publication: EN

Abstracts

EN

Calendar effects are anomalies in the behavior of asset prices that may disprove the efficient market hypothesis. The well recognized are: day-of-the-week effect, month-of-the-year effect, holidays effect and turn-of-the-month effect. These anomalies are observed in many financial markets, most often on stock exchanges, thus studies on calendar effects usually focus on stock markets. However, the aim of the paper is searching for the anomalies in precious metals markets (the empirical data covers London daily spot prices from 2008 through 2013). This is the continuation of authors’ prior research aimed at testing weak market efficiency hypothesis for precious metals markets.

Keywords

EN

precious metals; calendar effects; linear regression; GARCH models

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2014
• Volume: 15
• Issue: 2
• Pages: 392-402

Dates

published

2014

Contributors

author

Monika Krawiec

• Department of Econometrics and Statistics Warsaw University of Life Sciences – SGGW

author

Anna Górska

• Department of Agricultural Economics and International Economic Relations Warsaw University of Life Sciences – SGGW

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