SEPTEMBER AND NOVEMBER EFFECT IN GOLD MARKETS: AN ASIAN PERSPECTIVE

Abstract

The current study explores the seasonal patterns and volatility dynamics in gold returns for emerging Asian economies – China, India, Iran, Japan, Malaysia, Pakistan, Singapore, and Sri Lanka – using monthly data between 2013 and 2022. Preliminary diagnostic tests ensured the suitability of the return series by confirming their normality, stationarity, white noise, and ARCH effects. Seasonality was examined through monthly coefficients, average returns, and seasonal indices. ANOVA and Kruskal–Wallis tests yielded nonsignificant results for monthly coefficients, while monthly averages and seasonal indices suggested an upward trend between August and February, with the highest returns in the months of September and November. These findings are consistent with calendar- based demand shifts and corroborates the autumn effect in Asian gold markets. Volatility estimation through GARCH(1,1) revealed that the Asian gold market exhibits low volatility with persistence up to 21%, implying that short-term shocks do not persist for a longer time and revert more quickly than in Western economies. Overall, the findings suggest that Asian gold markets are relatively efficient with no significant evidence of seasonality, though cultural and festival-related factors may influence end-of-year price dynamics. The study offers implications for investors, portfolio managers, and policymakers, while outlining limitations and suggesting new avenues for broader comparative research.