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Seasonality in asset returns: Evidence from the gold market
Author(s) -
Tschoegl Adrian E.
Publication year - 1987
Publication title -
managerial and decision economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.288
H-Index - 51
eISSN - 1099-1468
pISSN - 0143-6570
DOI - 10.1002/mde.4090080312
Subject(s) - seasonality , prima facie , inefficiency , economics , eurodollar , financial economics , econometrics , monetary economics , statistics , futures contract , mathematics , philosophy , epistemology , microeconomics
In this paper we test monthly mean daily returns to gold over the period January 1975 to December 1984 against three definitions of seasonality. Weak evidence exists for seasonality under the second of the three definitions. However, this is not prima facie evidence of market inefficiency, as the pattern is consistent with seasonality in Eurodollar interest rates reported by other authors. Differences in the time pattern of returns between on‐ and off‐shore rates raises further questions.