Analysis of Selected Seasonality Effects in the Following Metal Markets: Gold, Silver, Platinum, Palladium and Copper
Journal Title: Journal of Management and Financial Sciences - Year 2017, Vol 27, Issue 1
Abstract
The commodity market has been becoming one of the most popular segments of the financial markets among individual and institutional investors in recent years. Similarly to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, especially in the segment of the precious metals. This paper tests the hypothesis of monthly, the day-of-the week and weekend effects of the precious metal markets quoted on the London Metal Exchange for gold, silver, platinum and copper in the period of 1.01.1995–31.12.2015 considering also palladium in the period 1.01.1998–31.12.2015. Calculations presented in this paper indicate the absence of the monthly effect on gold, silver, platinum, copper markets but proved occurrence of monthly anomaly in the month of September on palladium market. In the analyzed period day of- the week effect for any of the studied metal markets was not observed but the weekend effect was registered on the gold and copper markets.
Authors and Affiliations
Krzysztof Borowski, Małgorzata Łukasik
Keywords
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