Investing in Gold - Market Timing or Buy-and-Hold?

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 4,000 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.

Keywords: gold; market efficiency; investment strategies; monthly seasonalities; fundamental factors; technical indicators; superior predictive ability test

JEL Classification: G11, G12, G14