Superstitious seasonality in precious metals markets? Evidence from GARCH models with time-varying skewness and kurtosis

摘要: In this article, we analyse whether the Friday 13th effect documented by Kolb and Rodriguez (1987) can be observed in precious metals markets. Specifically, use dummy-augmented GARCH models to investigate impact of specific calendar day on conditional means gold, silver, palladium platinum returns. The specification model follows a flexible class recently proposed Leon et al. (2005) that incorporates time-varying skewness kurtosis applying Gram–Charlier series expansion normal density function. Our results for period from July 1996 August 2013 provide three important insights. First, there is no evidence human superstition regarding bad luck Fridays affects markets negative way, i.e. returns are not significantly lower than regular Fridays. Second, besides showing robustness variety settings, confirm main result sensitivity check, where replace dummy variables ...