The Seasonality of Gold - The Autumn Effect

22 Pages Posted: 23 Jan 2012 Last revised: 9 Oct 2012

See all articles by Dirk G. Baur

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Date Written: May 13, 2012


This paper studies recurring annual events potentially introducing seasonality into gold prices. We analyze gold returns for each month from 1980 to 2010 and find that September and November are the only months with positive and statistically significant gold price changes. This “autumn effect” holds unconditionally and conditional on several risk factors. We argue that the anomaly can be explained with hedging demand by investors in anticipation of the “Halloween effect” in the stock market, wedding season gold jewelery demand in India and negative investor sentiment due to shorter daylight time. The autumn effect can also be characterized by a higher unconditional and conditional volatility than in other seasons.

Keywords: seasonality, anomaly, gold, silver, hedge, safe haven

JEL Classification: C32, G10, G11, G14, G15, L70

Suggested Citation

Baur, Dirk G., The Seasonality of Gold - The Autumn Effect (May 13, 2012). Available at SSRN: or

Dirk G. Baur (Contact Author)

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane