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Testing Day of the Week Effect on Precious Metals Market

Dominik Krężołek

Dynamic Econometric Models2018https://doi.org/10.12775/dem.2018.005article
ABDC C
Weight
0.41

What the paper says

Market efficiency assumes that asset prices should be characterized by randomness and unpredictability, so that potential market participants are not able to generate above-average profits. This means that there should be no seasonal phenomenon in time series, which clearly projects a certain pattern of behavior of financial assets. The paper is an attempts to verify some specific seasonal effect called “the day of the week” on the precious metals market. The selection of this area is not accidental. Precious metals are an alternative to classic capital investments, especially in the case of financial and economic crises. In addition, the literature shows a gap in this area in terms of dynamics analysis on commodity markets, if compared to capital market. The analysis of day of the week effect was carried out taking into account both conditional mean and conditional variance. Results are not clear and strongly depends on the type of precious metal.

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https://doi.org/https://doi.org/10.12775/dem.2018.005

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@article{dominik2018,
  title        = {{Testing Day of the Week Effect on Precious Metals Market}},
  author       = {Dominik Krężołek},
  journal      = {Dynamic Econometric Models},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.12775/dem.2018.005},
}

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Testing Day of the Week Effect on Precious Metals Market

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Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.