Calendar anomalies in commodity markets for natural resources: Evidence from India

Examination of the Existence of Month of the Year, Day Effect of the Week, and Seasonal Anomalies in Gold Futures Contracts: The Case of Turkey

“…In other words, market actors who made transactions with gold futures contracts in the relevant period achieved above-average returns on all days except Thursday. While these results overlap with the results of the studies by (Ma (1986), Wang et al (2019), andChhabra andGupta (2022) that identified the existence of the day of the week effect, there exists differentiation in terms of returns (positive-negative) obtained on the day and the day when the effect occurs. In other words, the days with the effect observed in similar studies are usually Mondays and Fridays, while the effect was observed on all weekdays except Thursdays.…”

“…Kırlıoğlu and Tuna (2013) investigated the presence of the month of the year effect and seasonal anomalies in gold prices between January 1978 and June 2012 to conclude that there were both the month of the year effect and seasonal anomalies. Chhabra and Gupta (2022) examined whether fifteen calendar anomalies were observed on seven metal-based (aluminum, copper, gold, nickel, lead, zinc, silver) and two energy (crude oil, natural gas) futures contracts traded on the Indian Multi-Commodity Exchange -MCX during the period 2008-2018. According to the results, some calendar anomalies were observed in the aforementioned futures contracts, but these anomalies have disappeared recently.…”