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Overnight versus day returns in gold and gold related assets

Author

Listed:
  • Laurence E. Blose

    (Grand Valley State University)

  • Vijay Gondhalekar

    (Grand Valley State University)

  • Alan Kort

    (Fifth Third Bank Investment Management Group)

Abstract

Overnight returns are significantly positive while day returns are significantly negative in the COMEX gold front futures contract, the gold spot market (London Fix), gold mining company stocks, and gold related closed end mutual funds and exchange traded funds. The findings are consistent with gold price being (too) high at the opening of the various markets. The asymmetry is shown to be present in both up and down markets for gold. The results are economically important even with transaction costs.

Suggested Citation

  • Laurence E. Blose & Vijay Gondhalekar & Alan Kort, 2018. "Overnight versus day returns in gold and gold related assets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(3), pages 526-549, July.
    • Handle: RePEc:spr:jecfin:v:42:y:2018:i:3:d:10.1007_s12197-017-9403-0
    DOI: 10.1007/s12197-017-9403-0
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    References listed on IDEAS

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    More about this item

    Keywords

    Gold price; Market efficiency; Gold mutual fund; Gold;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G19 - Financial Economics - - General Financial Markets - - - Other

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