Analysis of Selected Seasonality Effects in the Following Metal Markets: Gold, Silver, Platinum, Palladium and Copper

20 Pages Posted: 26 Apr 2015 Last revised: 28 Apr 2015

Date Written: April 24, 2015

Abstract

The commodity market has been becoming one of the main popular segments of the financial markets among individual and institutional investors in recent years. Likely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, especially in the segment of the precious metal. This paper tests the hypothesis of monthly, the day-of-the week and weekend effects of the precious metal markets quoted on the London Metal Exchange for gold, silver, platinum and copper in the period of 01.01.1994-31.12.2014 considering also palladium in the period 01.01.1997-31.12.2014. Calculations presented in this paper indicate the absence of the monthly effect on gold, silver, platinum, copper markets but proved occurrence of monthly anomaly in the month of September on palladium market. In the analyzed period day-of-the week effect for any of the studied metal markets was not observed but the weekend effect was registered on the gold and copper markets.

Keywords: market efficiency, metal market, gold, copper, platinum, silver

JEL Classification: G14, G15, C12

Suggested Citation

Borowski, Krzysztof and Lukasik, Malgorzata, Analysis of Selected Seasonality Effects in the Following Metal Markets: Gold, Silver, Platinum, Palladium and Copper (April 24, 2015). Available at SSRN: https://ssrn.com/abstract=2598514 or http://dx.doi.org/10.2139/ssrn.2598514

Krzysztof Borowski (Contact Author)

Warsaw School of Economics ( email )

al. Niepodleglosci 162
Warsaw, 02-544
Poland

Malgorzata Lukasik

Independent ( email )

No Address Available

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