The “autumn effect” in the gold market—does it contradict the Adaptive Market Hypothesis?

Akhtaruzzaman, M., Boubaker, S., Lucey, B.M., Sensoy, A. (2021), Is gold a hedge or a safe-haven asset in the COVID–19 crisis? Economic Modelling, Vol. 102, p. 105588. https://doi.org/10.1016/j.econmod.2021.105588. Akhtaruzzaman M. Boubaker S. Lucey B.M. Sensoy A. ( 2021 ), Is gold a hedge or a safe-haven asset in the COVID–19 crisis? Economic Modelling , Vol. 102 , p. 105588 . https://doi.org/ 10.1016/j.econmod.2021.105588 . Open DOISearch in Google Scholar

Akhter, T., Yong, O. (2021), Can adaptive market hypothesis explain the existence of seasonal anomalies? Evidence from Dhaka stock exchange, Bangladesh, Contemporary Economics, Vol. 15(2), pp. 198–223. https://doi.org/10.5709/ce.1897-9254.444. Akhter T. Yong O. ( 2021 ), Can adaptive market hypothesis explain the existence of seasonal anomalies? Evidence from Dhaka stock exchange, Bangladesh , Contemporary Economics , Vol. 15 ( 2 ), pp. 198 – 223 . https://doi.org/ 10.5709/ce.1897-9254.444 . Open DOISearch in Google Scholar

Bassiouny, A., Kiryakos, M., Tooma, E. (2023), Examining the adaptive market hypothesis with calendar effects: International evidence and the impact of COVID-19, Global Finance Journal, Vol. 56, p. 100777. https://doi.org/10.1016/j.gfj.2022.100777. Bassiouny A. Kiryakos M. Tooma E. ( 2023 ), Examining the adaptive market hypothesis with calendar effects: International evidence and the impact of COVID-19 , Global Finance Journal , Vol. 56 , p. 100777 . https://doi.org/ 10.1016/j.gfj.2022.100777 . Open DOISearch in Google Scholar

Baur, D.G. (2013), The autumn effect of gold, Research in International Business and Finance, Vol. 27(1), pp. 1–11. https://doi.org/10.1016/j.ribaf.2012.05.001. Baur D.G. ( 2013 ), The autumn effect of gold , Research in International Business and Finance , Vol. 27 ( 1 ), pp. 1 – 11 . https://doi.org/ 10.1016/j.ribaf.2012.05.001 . Open DOISearch in Google Scholar

Baur, D.G., Dichtl, H., Drobetz, W., Wendt, V.S. (2020), Investing in gold – Market timing or buy-and-hold? International Review of Financial Analysis, Vol. 71, p. 101281. https://doi.org/10.1016/j.irfa.2018.11.008. Baur D.G. Dichtl H. Drobetz W. Wendt V.S. ( 2020 ), Investing in gold – Market timing or buy-and-hold? International Review of Financial Analysis , Vol. 71 , p. 101281 . https://doi.org/ 10.1016/j.irfa.2018.11.008 . Open DOISearch in Google Scholar

Baur, D.G., Glover, K.J. (2016), The destruction of a safe haven asset? Applied Finance Letters, Vol. 1(1), pp. 8–15. https://doi.org/10.24135/afl.v1i1.5. Baur D.G. Glover K.J. ( 2016 ), The destruction of a safe haven asset? Applied Finance Letters , Vol. 1 ( 1 ), pp. 8 – 15 . https://doi.org/ 10.24135/afl.v1i1.5 . Open DOISearch in Google Scholar

Baur, D.G., Lucey, B.M. (2010), Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold, Financial Review, Vol. 45(2), pp. 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x. Baur D.G. Lucey B.M. ( 2010 ), Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold , Financial Review , Vol. 45 ( 2 ), pp. 217 – 229 . https://doi.org/ 10.1111/j.1540-6288.2010.00244.x . Open DOISearch in Google Scholar

Baur, D.G., McDermott, T.K. (2010), Is gold a safe haven? International evidence, Journal of Banking and Finance, Vol. 34(8), pp. 1886–1898. https://doi.org/10.1016/j.jbankfin.2009.12.008. Baur D.G. McDermott T.K. ( 2010 ), Is gold a safe haven? International evidence , Journal of Banking and Finance , Vol. 34 ( 8 ), pp. 1886 – 1898 . https://doi.org/ 10.1016/j.jbankfin.2009.12.008 . Open DOISearch in Google Scholar

Blose, L.E., Gondhalekar, V. (2013), Weekend gold returns in bull and bear markets, Accounting & Finance, 53(3), pp. 609–622. https://doi.org/10.1111/j.1467-629X.2012.00497.x. Blose L.E. Gondhalekar V. ( 2013 ), Weekend gold returns in bull and bear markets , Accounting & Finance , 53 ( 3 ), pp. 609 – 622 . https://doi.org/ 10.1111/j.1467-629X.2012.00497.x . Open DOISearch in Google Scholar

Borowski, K., Łukasik, M. (2019), Analysis of selected seasonality effects in the following metal markets: Gold, silver, platinum, palladium and copper, Journal of Management and Financial Sciences, Vol. X(27), pp. 59–86. https://doi.org/10.33119/jmfs.2017.27.4. Borowski K. Łukasik M. ( 2019 ), Analysis of selected seasonality effects in the following metal markets: Gold, silver, platinum, palladium and copper , Journal of Management and Financial Sciences , Vol. X ( 27 ), pp. 59 – 86 . https://doi.org/ 10.33119/jmfs.2017.27.4 . Open DOISearch in Google Scholar

Chatzitzisi, E., Fountas, S., Panagiotidis, T. (2021), Another look at calendar anomalies, Quarterly Review of Economics and Finance, Vol. 80, pp. 823–840. https://doi.org/10.1016/j.qref.2019.04.001. Chatzitzisi E. Fountas S. Panagiotidis T. ( 2021 ), Another look at calendar anomalies , Quarterly Review of Economics and Finance , Vol. 80 , pp. 823 – 840 . https://doi.org/ 10.1016/j.qref.2019.04.001 . Open DOISearch in Google Scholar

Chhabra, D., Gupta, M. (2020), Market efficiency and calendar anomalies in commodity futures markets: A review. Agricultural Economics Research Review, Vol. 33(2), pp. 263–277. https://doi.org/10.5958/0974-0279.2020.00037.3. Chhabra D. Gupta M. ( 2020 ), Market efficiency and calendar anomalies in commodity futures markets: A review . Agricultural Economics Research Review , Vol. 33 ( 2 ), pp. 263 – 277 . https://doi.org/ 10.5958/0974-0279.2020.00037.3 . Open DOISearch in Google Scholar

Fama, E.F. (1970), Efficient capital markets: A review of theory and empirical work: Discussion, The Journal of Finance, Vol. 25(2), p. 421. https://doi.org/10.2307/2325488. Fama E.F. ( 1970 ), Efficient capital markets: A review of theory and empirical work: Discussion , The Journal of Finance , Vol. 25 ( 2 ), p. 421 . https://doi.org/ 10.2307/2325488 . Open DOISearch in Google Scholar

Fuksiewicz, M. (2021), An extended list of calendar anomalies in the context of the efficient market hypothesis, Zeszyty Naukowe Wyższej Szkoły Bankowej w Poznaniu, Vol. 93(2), pp. 89–101. https://doi.org/10.5604/01.3001.0015.5914. Fuksiewicz M. ( 2021 ), An extended list of calendar anomalies in the context of the efficient market hypothesis , Zeszyty Naukowe Wyższej Szkoły Bankowej w Poznaniu , Vol. 93 ( 2 ), pp. 89 – 101 . https://doi.org/ 10.5604/01.3001.0015.5914 . Open DOISearch in Google Scholar

Górska, A., Krawiec, M. (2014), Analysis of calendar effects in markets of precious metals, Quantitative Methods in Economics, Vol. XV(2), pp. 392–402. Górska A. Krawiec M. ( 2014 ), Analysis of calendar effects in markets of precious metals , Quantitative Methods in Economics , Vol. XV ( 2 ), pp. 392 – 402 . Search in Google Scholar

Investing.com. (2022), Investing.com, [19th September 2022]. Investing.com . ( 2022 ), Investing.com, [19th September 2022]. Search in Google Scholar

Kinateder, H., Papavassiliou, V.G. (2021), Calendar effects in bitcoin returns and volatility, Finance Research Letters, Vol. 38, p. 101420. https://doi.org/10.1016/j.frl.2019.101420. Kinateder H. Papavassiliou V.G. ( 2021 ), Calendar effects in bitcoin returns and volatility , Finance Research Letters , Vol. 38 , p. 101420 . https://doi.org/ 10.1016/j.frl.2019.101420 . Open DOISearch in Google Scholar

Knight Frank Research. (2022). The Wealth Report: The Global Perspective on Prime Property & Investment, East, retrieved from https://content.knightfrank.com/research/83/documents/en/the-wealth-report-2021-7865.pdf, [19th September 2022]. Knight Frank Research . ( 2022 ). The Wealth Report: The Global Perspective on Prime Property & Investment , East , retrieved from https://content.knightfrank.com/research/83/documents/en/the-wealth-report-2021-7865.pdf, [19th September 2022]. Search in Google Scholar

Kumar, S. (2016), Revisiting calendar anomalies: Three decades of multicurrency evidence, Journal of Economics and Business, Vol. 86, pp. 16–32. https://doi.org/10.1016/j.jeconbus.2016.04.001. Kumar S. ( 2016 ), Revisiting calendar anomalies: Three decades of multicurrency evidence , Journal of Economics and Business , Vol. 86 , pp. 16 – 32 . https://doi.org/ 10.1016/j.jeconbus.2016.04.001 . Open DOISearch in Google Scholar

LBMA Prices and Data. (2022), https://www.lbma.org.uk/prices-and-data/precious-metal-prices#/, [19th September 2022]. LBMA Prices and Data . ( 2022 ), https://www.lbma.org.uk/prices-and-data/precious-metal-prices#/, [19th September 2022]. Search in Google Scholar

Lo, A.W. (2004), The adaptive markets hypothesis, The Journal of Portfolio Management, Vol. 30(5), pp. 15–29. https://doi.org/10.3905/jpm.2004.442611. Lo A.W. ( 2004 ), The adaptive markets hypothesis , The Journal of Portfolio Management , Vol. 30 ( 5 ), pp. 15 – 29 . https://doi.org/ 10.3905/jpm.2004.442611 . Open DOISearch in Google Scholar

Lo, A.W. (2005), Reconciling efficient markets with behavioral finance: The adaptive markets hypothesis, Journal of Investment Consulting, Vol. 7(2), pp. 21–44. https://doi.org/10.1016/s0883-5403(04)00612-6. Lo A.W. ( 2005 ), Reconciling efficient markets with behavioral finance: The adaptive markets hypothesis , Journal of Investment Consulting , Vol. 7 ( 2 ), pp. 21 – 44 . https://doi.org/ 10.1016/s0883-5403(04)00612-6 . Open DOISearch in Google Scholar

Marquering, W., Nisser, J., Valla, T. (2006), Disappearing anomalies: A dynamic analysis of the persistence of anomalies, Applied Financial Economics, Vol. 16(4), pp. 291–302. https://doi.org/10.1080/09603100500400361. Marquering W. Nisser J. Valla T. ( 2006 ), Disappearing anomalies: A dynamic analysis of the persistence of anomalies , Applied Financial Economics , Vol. 16 ( 4 ), pp. 291 – 302 . https://doi.org/ 10.1080/09603100500400361 . Open DOISearch in Google Scholar

Mclean, R.D., Pontiff, J. (2016), Does academic research destroy stock return predictability? Journal of Finance, Vol. 71(1), pp. 5–32. https://doi.org/10.1111/jofi.12365. Mclean R.D. Pontiff J. ( 2016 ), Does academic research destroy stock return predictability? Journal of Finance , Vol. 71 ( 1 ), pp. 5 – 32 . https://doi.org/ 10.1111/jofi.12365 . Open DOISearch in Google Scholar

MSCI. (2021). MSCI WorldIndex (USD), https://www.msci.com/www/fact-sheet/msci-world-index/05830501, [19th September 2022]. MSCI . ( 2021 ). MSCI WorldIndex (USD) , https://www.msci.com/www/fact-sheet/msci-world-index/05830501, [19th September 2022]. Search in Google Scholar

Naeem, M.A., Agyemang, A., Hasan Chowdhury, M.I., Hasan, M., Shahzad, S.J.H. (2022), Precious metals as hedge and safe haven for African stock markets, Resources Policy, Vol. 78, p. 102781. https://doi.org/10.1016/j.resourpol.2022.102781. Naeem M.A. Agyemang A. Hasan Chowdhury M.I. Hasan M. Shahzad S.J.H. ( 2022 ), Precious metals as hedge and safe haven for African stock markets , Resources Policy , Vol. 78 , p. 102781 . https://doi.org/ 10.1016/j.resourpol.2022.102781 . Open DOISearch in Google Scholar

Peng, X. (2020), Do precious metals act as hedges or safe havens for China’s financial markets? Finance Research Letters, Vol. 37, p. 101353. https://doi.org/10.1016/j.frl.2019.101353. Peng X. ( 2020 ), Do precious metals act as hedges or safe havens for China’s financial markets? Finance Research Letters , Vol. 37 , p. 101353 . https://doi.org/ 10.1016/j.frl.2019.101353 . Open DOISearch in Google Scholar

Plastun, A., Bouri, E., Havrylina, A., Ji, Q. (2022), Calendar anomalies in passion investments: Price patterns and profit opportunities, Research in International Business and Finance, Vol. 61, p. 101678. https://doi.org/10.1016/j.ribaf.2022.101678. Plastun A. Bouri E. Havrylina A. Ji Q. ( 2022 ), Calendar anomalies in passion investments: Price patterns and profit opportunities , Research in International Business and Finance , Vol. 61 , p. 101678 . https://doi.org/ 10.1016/j.ribaf.2022.101678 . Open DOISearch in Google Scholar

Plastun, A., Sibande, X., Gupta, R., Wohar, M.E. (2019), Rise and fall of calendar anomalies over a century, North American Journal of Economics and Finance, Vol. 49, pp. 181–205. https://doi.org/10.1016/j.najef.2019.04.011. Plastun A. Sibande X. Gupta R. Wohar M.E. ( 2019 ), Rise and fall of calendar anomalies over a century , North American Journal of Economics and Finance , Vol. 49 , pp. 181 – 205 . https://doi.org/ 10.1016/j.najef.2019.04.011 . Open DOISearch in Google Scholar

Plastun, A., Sibande, X., Gupta, R., Wohar, M.E. (2020), Historical evolution of monthly anomalies in international stock markets, Research in International Business and Finance, Vol. 52(July 2019), p. 101127. https://doi.org/10.1016/j.ribaf.2019.101127. Plastun A. Sibande X. Gupta R. Wohar M.E. ( 2020 ), Historical evolution of monthly anomalies in international stock markets , Research in International Business and Finance , Vol. 52 (July 2019), p. 101127 . https://doi.org/ 10.1016/j.ribaf.2019.101127 . Open DOISearch in Google Scholar

Potrykus, M. (2015), Investment in gold - Safe haven, hedge or source of diversification for polish investor, Nauki o Finansach = Financial Sciences, Vol. 3(24), pp. 193–207. https://doi.org/10.15611/nof.2015.3.11. Potrykus M. ( 2015 ), Investment in gold - Safe haven, hedge or source of diversification for polish investor , Nauki o Finansach = Financial Sciences , Vol. 3 ( 24 ), pp. 193 – 207 . https://doi.org/ 10.15611/nof.2015.3.11 . Open DOISearch in Google Scholar

Qadan, M., Aharon, D.Y., Eichel, R. (2019), Seasonal patterns and calendar anomalies in the commodity market for natural resources, Resources Policy, Vol. 63, p. 101435. https://doi.org/10.1016/j.resourpol.2019.101435. Qadan M. Aharon D.Y. Eichel R. ( 2019 ), Seasonal patterns and calendar anomalies in the commodity market for natural resources , Resources Policy , Vol. 63 , p. 101435 . https://doi.org/ 10.1016/j.resourpol.2019.101435 . Open DOISearch in Google Scholar

Qadan, M., Aharon, D.Y., Eichel, R. (2022), Seasonal and calendar effects and the price efficiency of cryptocurrencies, Finance Research Letters, Vol. 46(Part A), p. 102354. https://doi.org/10.1016/j.frl.2021.102354. Qadan M. Aharon D.Y. Eichel R. ( 2022 ), Seasonal and calendar effects and the price efficiency of cryptocurrencies , Finance Research Letters , Vol. 46 (Part A), p. 102354 . https://doi.org/ 10.1016/j.frl.2021.102354 . Open DOISearch in Google Scholar

Shanaev, S., Ghimire, B. (2021), Efficient scholars: Academic attention and the disappearance of anomalies. European Journal of Finance, Vol. 27(3), pp. 278–304. https://doi.org/10.1080/1351847X.2020.1812684. Shanaev S. Ghimire B. ( 2021 ), Efficient scholars: Academic attention and the disappearance of anomalies . European Journal of Finance , Vol. 27 ( 3 ), pp. 278 – 304 . https://doi.org/ 10.1080/1351847X.2020.1812684 . Open DOISearch in Google Scholar

Shanaev, S., Shuraeva, A., Fedorova, S. (2022), The groundhog day stock market anomaly, Finance Research Letters, Vol. 47(Part A), p. 102641. https://doi.org/10.1016/j.frl.2021.102641. Shanaev S. Shuraeva A. Fedorova S. ( 2022 ), The groundhog day stock market anomaly , Finance Research Letters , Vol. 47 (Part A), p. 102641 . https://doi.org/ 10.1016/j.frl.2021.102641 . Open DOISearch in Google Scholar

Urquhart, A., McGroarty, F. (2014). Calendar effects, market conditions and the adaptive market hypothesis: Evidence from long-run U.S. data, International Review of Financial Analysis, Vol. 35, pp. 154–166. https://doi.org/10.1016/j.irfa.2014.08.003. Urquhart A. McGroarty F. ( 2014 ). Calendar effects, market conditions and the adaptive market hypothesis: Evidence from long-run U.S. data , International Review of Financial Analysis , Vol. 35 , pp. 154 – 166 . https://doi.org/ 10.1016/j.irfa.2014.08.003 . Open DOISearch in Google Scholar

World Gold Council. (2022), https://www.gold.org/goldhub/data/gold-prices, [19th September 2022]. World Gold Council . ( 2022 ), https://www.gold.org/goldhub/data/gold-prices, [19th September 2022]. Search in Google Scholar

Xiong, X., Meng, Y., Li, X., Shen, D. (2019), An empirical analysis of the adaptive market hypothesis with calendar effects: Evidence from China, Finance Research Letters, Vol. 31, pp. 321–333. https://doi.org/10.1016/j.frl.2018.11.020. Xiong X. Meng Y. Li X. Shen D. ( 2019 ), An empirical analysis of the adaptive market hypothesis with calendar effects: Evidence from China , Finance Research Letters , Vol. 31 , pp. 321 – 333 . https://doi.org/ 10.1016/j.frl.2018.11.020 . Open DOISearch in Google Scholar