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The “autumn effect” in the gold market—does it contradict the Adaptive Market Hypothesis?

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  • Potrykus Marcin

    (Faculty of Management and Economics, Gdańsk University of Technology, Gdańsk, Poland)

  • Augustynowicz Urszula

    (SGH Warsaw School of Economics, Warsaw, Poland)

Abstract

The present study aims to verify the autumn effect in the gold market, first presented 10 years ago by Dirk Baur in the paper “The autumn effect of gold” and to investigate the calendar effects occurring for other precious metals. This empirical research is presented in a way to place the results obtained in the context of the Efficient Market Hypothesis (EMH) and the more current Adaptive Market Hypothesis (AMH). The study was conducted as an extended reproduction of the Baur study. The main conclusion is that, the autumn effect on the gold market has been reversed and replaced by the winter effect, which is linked to the AMH. An equally interesting calendar effect was observed for silver. Platinum and palladium saw an increase in prices in January, but given the patterns in the gold market, it is very likely that this phenomenon will also change over time.

Suggested Citation

  • Potrykus Marcin & Augustynowicz Urszula, 2024. "The “autumn effect” in the gold market—does it contradict the Adaptive Market Hypothesis?," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 60(3), pages 157-172.
    • Handle: RePEc:vrs:ijomae:v:60:y:2024:i:3:p:157-172:n:1001
    DOI: 10.2478/ijme-2024-0011
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    More about this item

    Keywords

    investing; calendar effect; precious metals;
    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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