Weekday effects on gold: Tokyo, London, and New York markets
Using the probability distribution approach, this study explores the weekday effects among Tokyo, London, and New York gold markets. Friday shows positive and significant higher returns, whereas Tuesday shows negative and significant lower returns than other weekdays. The weekend effects still exist...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2016-07-01
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| Series: | Banks and Bank Systems |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/7348/BBS_en_2016_02_Yu.pdf |
| _version_ | 1818576677532336128 |
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| author | Hai-Chin Yu Chia-Ju Lee Tung-Li Shih |
| author_facet | Hai-Chin Yu Chia-Ju Lee Tung-Li Shih |
| author_sort | Hai-Chin Yu |
| collection | DOAJ |
| description | Using the probability distribution approach, this study explores the weekday effects among Tokyo, London, and New York gold markets. Friday shows positive and significant higher returns, whereas Tuesday shows negative and significant lower returns than other weekdays. The weekend effects still exist, while Monday effects disappear. On average, London was found to have the highest returns, followed by New York and Tokyo. The peak and width estimations show that Tokyo has the highest volatility, while London and New York have similar volatility distributions, implying a similar preference behavior of investors. It also implies that arbitrage opportunities between London and New York could be trivial. After estimating the distribution from Monday to Friday across the three markets, we found that the distribution of return shows a leftward shifting in London and New York, meaning that the weekend effect is starting earlier from Wednesday and Thursday in London and New York. Some strategy implications are valuable to traders or hedgers Vol. 11, Iss: 2, pp.33-44. |
| first_indexed | 2024-12-16T06:17:49Z |
| format | Article |
| id | doaj.art-41ef7199ba4b4d79baab38674838ddf2 |
| institution | Directory Open Access Journal |
| issn | 1816-7403 1991-7074 |
| language | English |
| last_indexed | 2024-12-16T06:17:49Z |
| publishDate | 2016-07-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Banks and Bank Systems |
| spelling | doaj.art-41ef7199ba4b4d79baab38674838ddf22022-12-21T22:41:12ZengLLC "CPC "Business Perspectives"Banks and Bank Systems1816-74031991-70742016-07-01112334410.21511/bbs.11(2).2016.047348Weekday effects on gold: Tokyo, London, and New York marketsHai-Chin Yu0Chia-Ju Lee1Tung-Li ShihProfessor, Department of International Business, Chung Yuan Christian University, Taoyuan CityCollege of Business, Chung Yuan University, Chungli (Taiwan)Using the probability distribution approach, this study explores the weekday effects among Tokyo, London, and New York gold markets. Friday shows positive and significant higher returns, whereas Tuesday shows negative and significant lower returns than other weekdays. The weekend effects still exist, while Monday effects disappear. On average, London was found to have the highest returns, followed by New York and Tokyo. The peak and width estimations show that Tokyo has the highest volatility, while London and New York have similar volatility distributions, implying a similar preference behavior of investors. It also implies that arbitrage opportunities between London and New York could be trivial. After estimating the distribution from Monday to Friday across the three markets, we found that the distribution of return shows a leftward shifting in London and New York, meaning that the weekend effect is starting earlier from Wednesday and Thursday in London and New York. Some strategy implications are valuable to traders or hedgers Vol. 11, Iss: 2, pp.33-44.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/7348/BBS_en_2016_02_Yu.pdf |
| spellingShingle | Hai-Chin Yu Chia-Ju Lee Tung-Li Shih Weekday effects on gold: Tokyo, London, and New York markets Banks and Bank Systems |
| title | Weekday effects on gold: Tokyo, London, and New York markets |
| title_full | Weekday effects on gold: Tokyo, London, and New York markets |
| title_fullStr | Weekday effects on gold: Tokyo, London, and New York markets |
| title_full_unstemmed | Weekday effects on gold: Tokyo, London, and New York markets |
| title_short | Weekday effects on gold: Tokyo, London, and New York markets |
| title_sort | weekday effects on gold tokyo london and new york markets |
| url | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/7348/BBS_en_2016_02_Yu.pdf |
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