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Abstract
The present study aims to verify the autumn effect in the gold market, first presented 10 years ago by Dirk Baur in the paper “The autumn effect of gold” and to investigate the calendar effects occurring for other precious metals. This empirical research is presented in a way to place the results obtained in the context of the Efficient Market Hypothesis (EMH) and the more current Adaptive Market Hypothesis (AMH). The study was conducted as an extended reproduction of the Baur study. The main conclusion is that, the autumn effect on the gold market has been reversed and replaced by the winter effect, which is linked to the AMH. An equally interesting calendar effect was observed for silver. Platinum and palladium saw an increase in prices in January, but given the patterns in the gold market, it is very likely that this phenomenon will also change over time.
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Authors (2)
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Urszula Augustynowicz
- SGH Warsaw School of Economics
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Full text
- Publication version
- Accepted or Published Version
- DOI:
- Digital Object Identifier (open in new tab) 10.2478/ijme-2024-0011
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Details
- Category:
- Articles
- Type:
- artykuły w czasopismach
- Published in:
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International Journal of Management and Economics
pages 1 - 16,
ISSN: 2299-9701 - Language:
- English
- Publication year:
- 2024
- Bibliographic description:
- Potrykus M., Augustynowicz U.: The “autumn effect” in the gold market—does it contradict the Adaptive Market Hypothesis?// International Journal of Management and Economics -,iss. 60 (3) (2024), s.1-16
- DOI:
- Digital Object Identifier (open in new tab) 10.2478/ijme-2024-0011
- Sources of funding:
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- COST_FREE
- Verified by:
- Gdańsk University of Technology
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