Volume 1 • No.1 | September, 2017
The Autumn effect in Vietnam’s gold market
Ho Thi Lam
Abstract:
This paper studies the seasonality in Vietnam’s gold market. The gold return is studied for each month and season for the period 2004-2015, the results show that only August's gold return is positive and statistically significant. A similar effect exists in the variance of return, which fluctuates higher than in other months. At the same time, when grouping dummy variables by seasonality, the study finds out that the "Autumn effect" is statistically significant both in gold return and its variance. These abnormalities can be explained by the "Halloween effect" in the stock market, increasing demand for gold jewelry in the wedding season and investor sensitivity due to fewer day hours during this period.