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

Marcin Potrykus
Marcin Potrykus
 und 
Urszula Augustynowicz
Urszula Augustynowicz
   | 18. Apr. 2024
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Article Category: Empirical Paper
Online veröffentlicht: 18. Apr. 2024
Seitenbereich: -
Eingereicht: 18. Okt. 2023
Akzeptiert: 04. März 2024
DOI: https://doi.org/10.2478/ijme-2024-0011
Schlüsselwörter
© 2024 Marcin Potrykus et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Figure 1.

Research gap, purposes, objectives, and research questions. Source: Own elaboration. AMH, adaptive market hypothesis; ASTRO, astronomical; METEO, meteorological.
Research gap, purposes, objectives, and research questions. Source: Own elaboration. AMH, adaptive market hypothesis; ASTRO, astronomical; METEO, meteorological.

Figure 2.

ASTRO vs. METEO seasons mean daily return of analyzed investments. Source: Own elaboration. ASTRO, astronomical; METEO, meteorological.
ASTRO vs. METEO seasons mean daily return of analyzed investments. Source: Own elaboration. ASTRO, astronomical; METEO, meteorological.

Descriptive statistics for the analyzed time series

Research sample Descriptive statistic Gold Silver Palladium Platinum MSCI S&P 500
ALL N = 10834 (for palladium and platinum N = 8434) Mean (x100) 0.0104 0.0028 0.0332 0.0075 0.0263 0.0316
Std. dev. 0.0106 0.0193 0.0205 0.0139 0.0091 0.0112
Min. –0.1290 –0.2575 –0.1786 –0.1728 –0.1044 –0.2292
Max. 0.1048 0.1828 0.1696 0.1173 0.0910 0.1096
Skewness –0.2456 –0.4978 –0.3481 –0.5072 –0.6925 –1.1612
Kurtosis 8.4797 12.1038 7.6754 8.9385 13.3391 26.3539
DB N = 7,802 Mean (x100) 0.0115 0.0086 0.0328 0.0238 0.0265 0.0284
Std. dev. 0.0108 0.0192 0.0206 0.0138 0.0090 0.0113
Min. –0.1290 –0.2575 –0.1786 –0.1728 –0.1036 –0.2292
Max. 0.1048 0.1828 0.1584 0.1173 0.0910 0.1096
Skewness –0.1574 –0.3917 –0.1765 –0.5800 –0.5139 –1.2561
Kurtosis 8.8449 11.0447 6.7748 10.7002 12.1150 29.6646
MP&UA N = 3,032 Mean (x100) 0.0077 –0.0122 0.0338 –0.0214 0.0257 0.0398
Std. dev. 0.0098 0.0193 0.0202 0.0143 0.0095 0.0109
Min. –0.0960 –0.1959 –0.1568 –0.1442 –0.1044 –0.1277
Max. 0.0513 0.1736 0.1696 0.0934 0.0841 0.0897
Skewness –0.5484 –0.7663 –0.6706 –0.3862 –1.0850 –0.8803
Kurtosis 6.7287 14.7832 9.4061 6.2049 15.8141 16.1195

Regression results–monthly returns conditional on S&P500

Dependent variable Month indepependent variable ALL DB MP&UA
Coef. t-Stat. Sig. Coef. t-Stat. Sig. Coef. t-Stat. Sig.
Gold S&P 500 –0.0058 –0.64 –0.0231 –2.13 ** 0.0418 2.54 **
Jan 0.0506 1.45 0.0156 0.37 0.1365 2.26 **
Aug 0.0522 1.49 0.0309 0.73 0.1101 1.75 *
Sep 0.0491 1.38 0.1119 2.62 *** –0.1227 –1.92 *
Nov 0.0414 1.16 0.0949 2.22 ** –0.1067 –1.67 *
Silver S&P 500 0.0252 1.53 –0.0243 –1.27 0.1622 5.05 ***
Jan 0.1076 1.69 * 0.1021 1.35 0.1212 1.03
Jun –0.1543 –2.41 ** –0.1696 –2.24 ** –0.1184 –0.99
Sep –0.0030 –0.05 0.1049 1.39 –0.2973 –2.37 **
Nov –0.0102 –0.16 0.0701 0.92 –0.2362 –1.89 *
Palladium S&P 500 0.1883 9.60 *** 0.1298 5.36 *** 0.3047 9.12 ***
Jan 0.2210 2.89 *** 0.2243 2.30 ** 0.2123 1.73 *
Feb 0.1964 2.45 ** 0.2043 2.00 ** 0.1751 1.36
Aug –0.1022 –1.34 –0.1571 –1.65 * –0.0030 –0.02
Platinum S&P 500 0.1099 8.22 *** 0.0555 3.42 *** 0.2182 9.31 ***
Jan 0.1725 3.31 *** 0.1319 2.02 ** 0.2374 2.76 ***
Feb 0.1373 2.51 ** 0.1714 2.50 ** 0.0729 0.81
Mar –0.0631 –1.21 0.0222 0.34 –0.2022 –2.35 **
Jun –0.0635 –1.22 –0.0185 –0.29 –0.1468 –1.68 *
Sep –0.1157 –2.18 ** –0.0570 –0.88 –0.2251 –2.46 **

F-test results for the conducted research

Sample Investment
Gold Silver Palladium Platinum
Monthly data All F-statistic = 0.889 p-value = 0.550 n.s. F-statistic = 1.161 p-value = 0.308 n.s. F-statistic = 1.920 p-value = 0.032 ** F-statistic = 2.374 p-value = 0.006 ***
DB F-statistic = 1.360 p-value = 0.185 n.s. F-statistic = 1.251 p-value = 0.247 n.s. F-statistic = 1.372 p-value = 0.179 n.s. F-statistic = 1.436 p-value = 0.149 n.s.
MP&UA F-statistic = 1.800 p-value = 0.049 ** F-statistic = 1.872 p-value = 0.038 ** F-statistic = 1.055 p-value = 0.394 n.s. F-statistic = 2.485 p-value = 0.004 ***
ASTRO Seasons data All F-statistic = 0.890 p-value = 0.445 n.s. F-statistic = 0.962 p-value = 0.410 n.s. F-statistic = 5.019 p-value = 0.002 *** F-statistic = 2.891 p-value = 0.034 **
DB F-statistic = 0.717 p-value = 0.542 n.s. F-statistic = 0.251 p-value = 0.861 n.s. F-statistic = 4.466 p-value = 0.004 *** F-statistic = 2.891 p-value = 0.034 **
MP&UA F-statistic = 2.190 p-value = 0.087 * F-statistic = 1.595 p-value = 0.188 n.s. F-statistic = 1.233 p-value = 0.296 n.s. F-statistic = 0.863 p-value = 0.460 n.s.
METEO Seasons data All F-statistic = 0.152 p-value = 0.929 n.s. F-statistic = 0.900 p-value = 0.440 n.s. F-statistic = 4.569 p-value = 0.003 *** F-statistic = 4.659 p-value = 0.003 ***
DB F-statistic = 1.369 p-value = 0.250 n.s. F-statistic = 0.847 p-value = 0.468 n.s. F-statistic = 3.295 p-value = 0.020 ** F-statistic = 2.762 p-value = 0.041 **
MP&UA F-statistic = 3.317 p-value = 0.019 ** F-statistic = 2.871 p-value = 0.035 ** F-statistic = 1.748 p-value = 0.155 n.s. F-statistic = 3.670 p-value = 0.012 **

Regression results—only monthly dummies

Dependent variable Month independent variable ALL DB MP&UA
Coef. t-Stat. Sig. Coef. t-Stat. Sig. Coef. t-Stat. Sig.
Gold Jan 0.0504 1.44 0.0149 0.35 0.1376 2.28 **
Aug 0.0522 1.49 0.0309 0.73 0.1102 1.75 *
Sep 0.0493 1.38 0.1128 2.64 *** –0.1247 –1.94 *
Nov 0.0410 1.15 0.0936 2.19 ** –0.1022 –1.60
Silver Jan 0.1084 1.70 * 0.1013 1.34 0.1258 1.06
Jun –0.1543 –2.41 ** –0.1695 –2.24 ** –0.1163 –0.97
Jul 0.1036 1.64 0.0617 0.83 0.2087 1.76 *
Sep –0.0040 –0.06 0.1058 1.40 –0.3051 –2.42 **
Nov –0.0084 –0.13 0.0688 0.91 –0.2186 –1.74 *
Palladium Jan 0.2232 2.90 *** 0.2244 2.29 ** 0.2210 1.78 *
Feb 0.1957 2.43 ** 0.2000 1.95 * 0.1884 1.45
Jul 0.1002 1.32 0.0373 0.39 0.2109 1.70 *
Aug –0.1073 –1.40 –0.1628 –1.70 * –0.0019 –0.01
Platinum Jan 0.1738 3.32 *** 0.1320 2.02 ** 0.2436 2.79 ***
Feb 0.1369 2.50 ** 0.1696 2.47 ** 0.0825 0.90
Mar –0.0586 –1.12 0.0252 0.38 –0.1980 –2.27 **
Sep –0.1190 –2.24 ** –0.0581 –0.90 –0.2356 –2.54 **

Regression results–monthly returns conditional on MSCI World Index

Dependent variable Month independent variable ALL DB MP&UA
Coef. t-Stat. Sig. Coef. t-Stat. Sig. Coef. t-Stat. Sig.
Gold MSCI 0.1147 10.34 *** 0.1137 8.35 *** 0.1156 6.16 ***
Jan 0.0493 1.42 0.0146 0.34 0.1344 2.24 **
Aug 0.0533 1.53 0.0314 0.75 0.1128 1.80 *
Sep 0.0543 1.53 0.1173 2.76 *** –0.1187 –1.86 *
Nov 0.0340 0.96 0.0872 2.05 ** –0.1107 –1.74 *
Silver MSCI 0.2431 12.06 *** 0.2030 8.41 *** 0.3337 9.12 ***
Jan 0.1060 1.68 * 0.1008 1.34 0.1164 1.00
Jun –0.1499 –2.35 ** –0.1646 –2.18 ** –0.1154 –0.97
Sep 0.0065 0.10 0.1139 1.51 –0.2877 –2.32 **
Nov –0.0232 –0.36 0.0573 0.76 –0.2433 –1.96 **
Palladium MSCI 0.4002 17.31 *** 0.3198 10.93 *** 0.5429 14.42 ***
Jan 0.2269 3.00 *** 0.2345 2.42 ** 0.2057 1.71 *
Feb 0.1933 2.44 ** 0.2040 2.01 ** 0.1688 1.34
Platinum MSCI 0.2678 17.00 *** 0.1999 10.21 *** 0.3879 14.70 ***
Jan 0.1762 3.42 *** 0.1383 2.14 ** 0.2327 2.76 ***
Feb 0.1353 2.51 ** 0.1720 2.53 ** 0.0684 0.77
Mar –0.0648 –1.26 0.0163 0.25 –0.1933 –2.30 **
Jun –0.0587 –1.14 –0.0129 –0.20 –0.1430 –1.67 *
Sep –0.1065 –2.04 ** –0.0494 –0.77 –0.2154 –2.40 **
Nov 0.0085 0.16 0.0889 1.38 –0.1509 –1.69 *
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