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Investing in gold – Market timing or buy-and-hold?

Author

Listed:
  • Baur, Dirk G.
  • Dichtl, Hubert
  • Drobetz, Wolfgang
  • Wendt, Viktoria-Sophie

Abstract

The literature on gold is dominated by empirical studies on its diversification, hedging, and safe haven properties. In contrast, the question “When to invest in gold?” is generally not analyzed in much detail. We test more than 4000 seasonal, technical, and fundamental timing strategies for gold and find evidence for some market timing ability and economic gains relative to a passive buy-and-hold benchmark. However, since the results are not robust to data-snooping biases and limited to specific evaluation periods, we conclude that our findings support the efficiency of the gold market.

Suggested Citation

  • Baur, Dirk G. & Dichtl, Hubert & Drobetz, Wolfgang & Wendt, Viktoria-Sophie, 2020. "Investing in gold – Market timing or buy-and-hold?," International Review of Financial Analysis, Elsevier, vol. 71(C).
  • Handle: RePEc:eee:finana:v:71:y:2020:i:c:s1057521918306227
    DOI: 10.1016/j.irfa.2018.11.008
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    More about this item

    Keywords

    Gold; Market efficiency; Investment strategies; Monthly seasonalities; Fundamental factors; Technical indicators; Superior predictive ability test;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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