The Monthly Effects in Chinese Gold Market

Ming Qi, Wenyao Wang

Abstract


In this paper, we examine the calendar effects in Chinese daily gold returns from 30 December 2002 to 05 November 2011. We find that the average gold returns appear to be higher in February, September and November than in other months. Furthermore, using the GED-GARCH (1,1) approach, we find significant gold return anomalies in February, April, August, September, November and December. Most of these months occur before the public 7-day-holidays, which are called “Golden Weeks” in China. The expected strong demand before the holidays has pushed up the investment returns of gold. These findings provide convincing evidence of monthly effects in Chinese gold market. They might be of considerable importance for gold investors and traders.


Full Text: PDF DOI: 10.5539/ijef.v5n10p141

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This work is licensed under a Creative Commons Attribution 3.0 License.

International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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