ANALYSIS OF CALENDAR EFFECTS IN MARKETS OF PRECIOUS METALS

Calendar effects are anomalies in the behavior of asset prices that may disprove the efficient market hypothesis. The well recognized are: day_x0002_of-the-week effect, month-of-the-year effect, holidays effect and turn-of-the_x0002_month effect. These anomalies are observed in many financial markets, most often on stock exchanges, thus studies on calendar effects usually focus on stock markets. However, the aim of the paper is searching for the anomalies in precious metals markets (the empirical data covers London daily spot prices from 2008 through 2013). This is the continuation of authors’ prior research aimed at testing weak market efficiency hypothesis for precious metals markets.