English
Ciência_Iscte
Publicações
Descrição Detalhada da Publicação
The impact of COVID-19 on gold seasonality
Título Revista
Applied Economics
Ano (publicação definitiva)
2022
Língua
Inglês
País
Reino Unido
Mais Informação
Web of Science®
Scopus
Google Scholar
Esta publicação não está indexada no Google Scholar
Esta publicação não está indexada no Overton
Abstract/Resumo
This study investigates the impact of COVID-19 on the seasonality of gold returns by means of an
asymmetric EGARCH model (Exponential GARCH). We find that the so-called ‘autumn effect’, or the
traditional seasonal increase in gold returns in fall, vanishes and even shows a reverse pattern
during the COVID-19 pandemic. We ascribe this phenomenon to the decaying demand for gold,
which substantially decreased in the third quarter of 2020. In contrast, we find no evidence of
seasonal effects in gold volatility, which is in line with earlier researches on this topic. Our results
also confirm the positive asymmetric effect of gold volatility.
Agradecimentos/Acknowledgements
--
Palavras-chave
COVID-19 pandemic,Gold,Seasonality,‘Autumn effect’,Market sentiment,EGARCH models
Classificação Fields of Science and Technology
- Economia e Gestão - Ciências Sociais
- Outras Ciências Sociais - Ciências Sociais
