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Publication Detailed Description
The impact of COVID-19 on gold seasonality
Journal Title
Applied Economics
Year (definitive publication)
2022
Language
English
Country
United Kingdom
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Abstract
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.
Acknowledgements
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Keywords
COVID-19 pandemic,Gold,Seasonality,‘Autumn effect’,Market sentiment,EGARCH models
Fields of Science and Technology Classification
- Economics and Business - Social Sciences
- Other Social Sciences - Social Sciences
