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Examination of the Existence of Month of the Year, Day Effect of the Week, and Seasonal Anomalies in Gold Futures Contracts: The Case of Turkey

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  • Karataş Elçiçek, Yasemin

    (Siirt University)

Abstract

This study aims to examine the existence of the month of the year effect, the day of the week effect, and seasonal anomalies in the return of gold futures contracts traded in the Borsa Istanbul Derivatives Market (BIST-VIOP) in the period of 02.09.2013 - 30.11.2022 through the Autoregressive Moving Average Models (ARMA)(2,2) and Generalized Autoregressive Conditional Heteroskedastic (GARCH)(1,1) model. According to the results, positive returns were found on other days except Thursday from the model examining the relationship between the gold futures contract and the day of the week effect, positive returns were found in January and March from the model results examining the relationship between the gold futures contract and the month of the year effect, and positive as well as statistically significant returns were found in other seasons except for summer from the model examining the relationship between the gold futures contract and seasonal anomalies.

Suggested Citation

  • Karataş Elçiçek, Yasemin, 2023. "Examination of the Existence of Month of the Year, Day Effect of the Week, and Seasonal Anomalies in Gold Futures Contracts: The Case of Turkey," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 14(3), pages 369-387, July.
    • Handle: RePEc:ris:buecrj:0643
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    More about this item

    Keywords

    Gold Futures Contract; Anomaly; Seasonal Effect; Month of the Year Effect; Day of the Week Effect;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General

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