Empirical Evidence on the Existence of Calendar Anomalies in the Market for Gold and Crude Oil

Abstract

This study is done with a purpose to explore and provide evidence about the existence of calendar anomalies in the market for gold and crude oil in India. Ordinary least square regression analysis is used to examine the presence of day of the week, turn of the year and turn of the month effects and to test the efficiency of the gold and crude oil market. The characteristics of returns are compared over different periods to draw inferences. The study has implications for both traders and investors who try to earn excess profits by timing their positions in certain assets based on the calendar anomalies. Potential investors and hedgers can take their positions and design their portfolio in the two assets using the insights provided by this piece of work.

Keywords: Market Efficiency, Anomalies, Day of the week Effect, Turn of the year Effect, Turn of the month Effect

JEL Classification: G10, G11, G14