scholarly journals Testing Day of the Week Effect on Precious Metals Market

2018 ◽  
Vol 18 ◽  
pp. 81
Author(s):  
Dominik Krężołek
Author(s):  
Krzysztof Borowski ◽  
Małgorzata Łukasik

The commodity market has been becoming one of the most popular segments of the financial markets among individual and institutional investors in recent years. Similarly to the eąuity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, especially in the segment of the precious metals. This paper tests the hypothesis of monthly, the day-of-the week and weekend effects of the precious metal markets ąuoted on the London Metal Exchange for gold, silver, platinum and copper in the period of 1.01.1995-31.12.2015 considering also palladium in the period 1.01.1998-31.12.2015. Calculations presented in this paper indicate the absence of the monthly effect on gold, silver, platinum, copper markets but proved occurrence of monthly anomaly in the month of September on palladium market. In the analyzed period day- of-the week effect for any of the studied metal markets was not observed but the weekend effect was registered on the gold and copper markets.


2001 ◽  
Vol 120 (5) ◽  
pp. A403-A404
Author(s):  
J HARRISON ◽  
J ROTH ◽  
R COHEN

Author(s):  
Stevan S. Pupovac ◽  
Paul C. Lee ◽  
Julissa Jurado ◽  
Kevin Hyman ◽  
Larry Glassman ◽  
...  

2018 ◽  
Vol 63 (2) ◽  
pp. 39-52
Author(s):  
Daniela Violeta Dumitrescu ◽  
◽  
Vasile Soare ◽  
Ionuţ Constantin ◽  
Marian Burada ◽  
...  

2017 ◽  
Vol 12 (30) ◽  
pp. 53-61
Author(s):  
A.A. Solodenko ◽  
◽  
A.B. Solodenko ◽  
S.I. Evdokimov ◽  
Yu.G. Klykov ◽  
...  
Keyword(s):  

Author(s):  
Ngoc Anh Nguyen

The analysis of a data set of observation for Vietnamese banks in period from 2011 - 2015 shows how Capital Adequacy Ratio (CAR) is influenced by selected factors: asset of the bank SIZE, loans in total asset LOA, leverage LEV, net interest margin NIM, loans lost reserve LLR, Cash and Precious Metals in total asset LIQ. Results indicate based on data that NIM, LIQ have significant effect on CAR. On the other hand, SIZE and LEV do not appear to have significant effect on CAR. Variables NIM, LIQ have positive effect on CAR, while variables LLR and LOA are negatively related with CAR.


2019 ◽  
Vol 12 (3) ◽  
pp. 37-47
Author(s):  
I. Ya. Lukasevich

The implementation of the May presidential decree aimed at Russia’s joining the top five global economies and achieving economic growth rates above the world’s average while maintaining macroeconomic stability requires a highly developed and efficient stock market ensuring the accumulation of capital and its deployment in the most promising and productive sectors of the economy.The subject of the research is timing anomalies in the Russian stock market in 2012–2018. The relevance of the research is due to the information inefficiency of the Russian stock market and its imperfections leading to significant price deviations from the «fair» value of assets and depriving investors of the opportunity to form various strategies for deriving additional revenues not related to fundamental economic factors and objective processes occurring in the global and local economies and the economy of an individual business entity. Based on the trend analysis of the Broad Market USD Index (RUBMI), the paper demonstrates a methodology for simulating the analysis of price anomalies on large arrays of real data using statistical data processing methods and modern information technologies. The paper concludes that though the Russian stock market lacks even the weak form of efficiency, such well-known timing anomalies as the “day-of-the-week” effect and the “month” effect have not been observed in the recent years. Therefore, investors could not use these anomalies to derive regular revenues above the market average.


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