Examination of the Existence of Month of the Year, Day Effect of the Week, and Seasonal Anomalies in Gold Futures Contracts: The Case of Turkey

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dc.contributor.authorElçiçek, Yasemin Karataş
dc.date.accessioned2024-12-24T19:16:30Z
dc.date.available2024-12-24T19:16:30Z
dc.date.issued2023
dc.departmentSiirt Üniversitesi
dc.description.abstractThis study aims to examine the existence of the month of the year effect, the day of the week effect, and seasonal anomalies in the return of gold futures contracts traded in the Borsa Istanbul Derivatives Market (BIST-VIOP) in the period of 02.09.2013 - 30.11.2022 through the Autoregressive Moving Average Models (ARMA)(2,2) and Generalized Autoregressive Conditional Heteroskedastic (GARCH)(1,1) model. According to the results, positive returns were found on other days except Thursday from the model examining the relationship between the gold futures contract and the day of the week effect, positive returns were found in January and March from the model results examining the relationship between the gold futures contract and the month of the year effect, and positive as well as statistically significant returns were found in other seasons except for summer from the model examining the relationship between the gold futures contract and seasonal anomalies.
dc.identifier.doi10.20409/berj.2023.422
dc.identifier.endpage387
dc.identifier.issn2619-9491
dc.identifier.issue3
dc.identifier.startpage369
dc.identifier.trdizinid1209253
dc.identifier.urihttps://doi.org/10.20409/berj.2023.422
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1209253
dc.identifier.urihttps://hdl.handle.net/20.500.12604/4450
dc.identifier.volume14
dc.indekslendigikaynakTR-Dizin
dc.language.isoen
dc.relation.ispartofBusiness and Economics Research Journal
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241222
dc.subjectAnomaly
dc.subjectDay of the Week Effect
dc.subjectGold Futures Contract
dc.subjectSeasonal Effect
dc.subjectMonth of the Year Effect
dc.titleExamination of the Existence of Month of the Year, Day Effect of the Week, and Seasonal Anomalies in Gold Futures Contracts: The Case of Turkey
dc.typeArticle

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