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Identification of the daily seasonality in gold returns and volatilities: Evidence from Shanghai and London

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  • Wang, Xinya
  • Liu, Huifang
  • Huang, Shupei

Abstract

Seasonality refers to the phenomenon whereby the return and the volatility for a certain period are significantly different from those of other periods. By establishing a dummy-augmented GARCH model, we examine the daily seasonality in returns and volatilities of gold prices in Shanghai and London for the period from January 2003 to March 2017 with the consideration of the breakpoint. The results indicate that the daily seasonality exists in price series of the Shanghai gold market, whether in the total sample or in the sub-samples, showing that returns on Mondays are significantly higher than on other trading days, and Mondays' volatilities are also the biggest. However, for the London gold market, daily seasonality only exists in volatilities of the sub-sample from April 2013 to March 2017, showing that volatilities on Thursdays are significantly bigger than are those on Mondays. The robustness of results is tested through other GARCH models, namely GARCH-M, TGARCH, EGARCH and CGARCH.

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  • Wang, Xinya & Liu, Huifang & Huang, Shupei, 2019. "Identification of the daily seasonality in gold returns and volatilities: Evidence from Shanghai and London," Resources Policy, Elsevier, vol. 61(C), pages 522-531.
    • Handle: RePEc:eee:jrpoli:v:61:y:2019:i:c:p:522-531
    DOI: 10.1016/j.resourpol.2018.05.004
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    2. Nguyen, Quynh Nga & Bedoui, Rihab & Majdoub, Najemeddine & Guesmi, Khaled & Chevallier, Julien, 2020. "Hedging and safe-haven characteristics of Gold against currencies: An investigation based on multivariate dynamic copula theory," Resources Policy, Elsevier, vol. 68(C).
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    4. Rupel Nargunam & William W. S. Wei & N. Anuradha, 2021. "Investigating seasonality, policy intervention and forecasting in the Indian gold futures market: a comparison based on modeling non-constant variance using two different methods," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-15, December.

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    Gold; Daily seasonality; GARCH;
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