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

33 Pages Posted: 17 Jul 2018 Last revised: 15 Nov 2018

See all articles by Dirk G. Baur

Dirk G. Baur

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

Hubert Dichtl

dichtl research & consulting GmbH; University of Hamburg

Wolfgang Drobetz

University of Hamburg

Viktoria-Sophie Wendt

BlackRock, Inc - London

Date Written: November 15, 2018

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

Suggested Citation

Baur, Dirk G. and Dichtl, Hubert and Drobetz, Wolfgang and Wendt, Viktoria-Sophie, Investing in Gold - Market Timing or Buy-and-Hold? (November 15, 2018). Available at SSRN: https://ssrn.com/abstract=3202658 or http://dx.doi.org/10.2139/ssrn.3202658

Dirk G. Baur

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

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

HOME PAGE: http://www.firn.org.au

Hubert Dichtl

dichtl research & consulting GmbH ( email )

Am Bahnhof 7
65812 Bad Soden am Taunus
Germany

HOME PAGE: http://www.dichtl-research-consulting.de

University of Hamburg ( email )

Moorweidenstr. 18
Hamburg, 20148
Germany

Wolfgang Drobetz

University of Hamburg ( email )

Moorweidenstrasse 18
Hamburg, 20148
Germany

Viktoria-Sophie Wendt (Contact Author)

BlackRock, Inc - London ( email )

Drapers Gardens
12 Throgmorton Ave
London, EC2N 2DL
United Kingdom

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