Research sample | Descriptive statistic | Gold | Silver | Palladium | Platinum | MSCI | S&P 500 |
---|---|---|---|---|---|---|---|
ALL |
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 |
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 |
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 |
Dependent variable | Month indepependent variable | ALL | DB | MP&UA | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Coef. | Sig. | Coef. | Sig. | Coef. | 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 |
Sample | Investment | ||||
---|---|---|---|---|---|
Gold | Silver | Palladium | Platinum | ||
Monthly data | All | ||||
DB | |||||
MP&UA | |||||
ASTRO Seasons data | All | ||||
DB | |||||
MP&UA | |||||
METEO Seasons data | All | ||||
DB | |||||
MP&UA |
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 |
Dependent variable | Month independent variable | ALL | DB | MP&UA | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Coef. | Sig. | Coef. | Sig. | Coef. | 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 |