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Weekend gold returns in bull and bear markets

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  • Laurence E. Blose
  • Vijay Gondhalekar

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  • Laurence E. Blose & Vijay Gondhalekar, 2013. "Weekend gold returns in bull and bear markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(3), pages 609-622, September.
    • Handle: RePEc:bla:acctfi:v:53:y:2013:i:3:p:609-622
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    File URL: http://hdl.handle.net/10.1111/j.1467-629X.2012.00497.x
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    References listed on IDEAS

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    2. Lucey, Brian M., 2006. "Investigating the determinants of the Wednesday seasonal in Irish Equities," Research in International Business and Finance, Elsevier, vol. 20(1), pages 62-76, March.
    3. Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2007. "Are there Monday effects in stock returns: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 736-755, December.
    4. Coats, Warren L, Jr, 1981. "The Weekend Eurodollar Game," Journal of Finance, American Finance Association, vol. 36(3), pages 649-659, June.
    5. Seyed Mehdian & Mark J. Perry, 2001. "The Reversal of the Monday Effect: New Evidence from US Equity Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(7&8), pages 1043-1065.
    6. Aggarwal, Raj & Schatzberg, John D., 1997. "Day of the week effects, information seasonality, and higher moments of security returns," Journal of Economics and Business, Elsevier, vol. 49(1), pages 1-20, February.
    7. Clifford A. Ball & Walter N. Torous & Adrian E. Tschoegl, 1982. "Gold and the “weekend effect”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 2(2), pages 175-182, June.
    8. Seyed Mehdian & Mark J. Perry, 2001. "The Reversal of the Monday Effect: New Evidence from US Equity Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(7‐8), pages 1043-1065, September.
    9. Kamara, Avraham, 1997. "New Evidence on the Monday Seasonal in Stock Returns," The Journal of Business, University of Chicago Press, vol. 70(1), pages 63-84, January.
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    11. Gibbons, Michael R & Hess, Patrick, 1981. "Day of the Week Effects and Asset Returns," The Journal of Business, University of Chicago Press, vol. 54(4), pages 579-596, October.
    12. Flannery, Mark J & Protopapadakis, Aris A, 1988. " From T-Bills to Common Stocks: Investigating the Generality of Intra-Week Return Seasonality," Journal of Finance, American Finance Association, vol. 43(2), pages 431-450, June.
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    16. Chang, Eric C. & Pinegar, J. Michael & Ravichandran, R., 1993. "International Evidence on the Robustness of the Day-of-the-Week Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(4), pages 497-513, December.
    17. Gordon Tang, 1997. "Weekly pattern in higher moments: An empirical test in Hong Kong stock market," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(1), pages 51-59, March.
    18. Christopher K. Ma, 1986. "A further investigation of the day‐of‐the‐week effect in the gold market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(3), pages 409-419, September.
    19. Brian Lucey, 2002. "Market direction and moment seasonality: evidence from Irish equities," Applied Economics Letters, Taylor & Francis Journals, vol. 9(10), pages 657-664.
    20. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    21. Rogalski, Richard J, 1984. "New Findings Regarding Day-of-the-Week Returns over Trading and Non-trading Periods: A Note," Journal of Finance, American Finance Association, vol. 39(5), pages 1603-1614, December.
    22. Arnold L. Redman & Herman Manakyan & Kartono Liano, 1997. "Real Estate Investment Trusts and Calendar Anomalies," Journal of Real Estate Research, American Real Estate Society, vol. 14(1), pages 19-28.
    23. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. "The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
    24. Johnston, Elizabeth Tashijan & Kracaw, William A. & McConnell, John J., 1991. "Day-of-the-Week Effects in Financial Futures: An Analysis of GNMA, T-Bond, T-Note, and T-Bill Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(1), pages 23-44, March.
    25. Wilson Tong, 2000. "International Evidence On Weekend Anomalies," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(4), pages 495-522, December.
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    Cited by:

    1. Thi Hong Van Hoang & Zhenzhen Zhu & Bing Xiao & Wing‐Keung Wong, 2020. "The seasonality of gold prices in China does the risk‐aversion level matter?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2617-2664, September.
    2. Darko Stosic & Dusan Stosic & Irena Vodenska & H. Eugene Stanley & Tatijana Stosic, 2021. "A new look at calendar anomalies: Multifractality and day of the week effect," Papers 2106.06164, arXiv.org.
    3. Auer, Benjamin R., 2014. "Daily seasonality in crude oil returns and volatilities," Energy Economics, Elsevier, vol. 43(C), pages 82-88.
    4. Chhabra, Damini & Gupta, Mohit, 2022. "Calendar anomalies in commodity markets for natural resources: Evidence from India," Resources Policy, Elsevier, vol. 79(C).
    5. Laurence E. Blose & Vijay Gondhalekar & Alan Kort, 2018. "Overnight versus day returns in gold and gold related assets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(3), pages 526-549, July.
    6. Ntantamis, Christos & Zhou, Jun, 2015. "Bull and bear markets in commodity prices and commodity stocks: Is there a relation?," Resources Policy, Elsevier, vol. 43(C), pages 61-81.
    7. Wang, Xinya & Liu, Huifang & Huang, Shupei, 2019. "Identification of the daily seasonality in gold returns and volatilities: Evidence from Shanghai and London," Resources Policy, Elsevier, vol. 61(C), pages 522-531.
    8. Aharon, David Yechiam & Qadan, Mahmoud, 2019. "Bitcoin and the day-of-the-week effect," Finance Research Letters, Elsevier, vol. 31(C).
    9. Yasmeen Idilbi-Bayaa & Mahmoud Qadan, 2022. "Tell Me Why I Do Not Like Mondays," Mathematics, MDPI, vol. 10(11), pages 1-22, May.
    10. Osman Gulseven, 2020. "Turn-of-the Year Affect in Gold Prices: Decomposition Analysis," Papers 2003.11027, arXiv.org.
    11. Riccardo De Blasis & Alexander Webb, 2022. "Arbitrage, contract design, and market structure in Bitcoin futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 492-524, March.
    12. O'Connor, Fergal A. & Lucey, Brian M. & Batten, Jonathan A. & Baur, Dirk G., 2015. "The financial economics of gold — A survey," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 186-205.
    13. Ntim, Collins G. & English, John & Nwachukwu, Jacinta & Wang, Yan, 2015. "On the efficiency of the global gold markets," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 218-236.
    14. Low, Rand Kwong Yew & Yao, Yiran & Faff, Robert, 2016. "Diamonds vs. precious metals: What shines brightest in your investment portfolio?," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 1-14.

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