Calendar Effects Of Returns And Volatility In China's Gold Futures Market

The research of the calendar effects in gold future market can provide an important basis for investors to make decisions in speculation, arbitrage and hedging. In order to testing the calendar effects in Shanghai gold future market systematically, this paper empirically studied calendar effects of gold futures returns and conditional volatility by using ARMA-EGARCH-GED model. The study period was from January 9, 2008 to April 30, 2014. First, this paper analyzed the weekly effect by using the ARMA(3, 3)-EGARCH(1,1)-GED model, the model's performance is perfect. According to yield equation, gold future market has significant positive effect on Monday, Wednesday and a significant negative Tuesday effect, while Thursday and Friday effect was not significant. Meanwhile, the leverage effect and weekly effect is obvious for waving of in the Shanghai gold future.Then using the ARMA(5,6)-EGARCH(1,1)-GED model to analyze monthly effect and the model performs well. Yield equation shows that there exists a positive effect in February and November and a weaker positive effect in August, while the rest of the year is not significant. There was a significant effect of the volatility in February, August and November and a weaker leverage effect.Next, the paper analyzed the seasonal effect by using the ARMA(3, 3)-EGARCH(1,1)-GED model. The results indicate that the model's performance was perfect, yield of the fourth quarter was significantly positive, wh ile the other quarters are not significant. Volatility in the third quarter and fourth quarter and leverage effect was significant.Finally, the holiday effect was analyzed by using the ARMA(4,4)-EGARCH(1,1)-GED model, the model has good effect. The results show that after-Spring Festival, after-Autumn Festival, after-National Day have the chance to get excess returns, while before and after the other festivals shows no chance to get excess returns. The volatility rate of earnings is not significant bef ore and after each holiday.Studying the calendar effect in the gold futures market and digging the characteristics and influencing factors of calendar effects helps us understand the operating characteristics of the gold futures market; the results of thi s paper can be used to establish a futures index system of calendar effect, to facilitate long-term follow-up study of the evolution of calendar effects, the research methods have a strong demonstration effect to other futures; at the same time,it helps t o improve incompleteness and asymmetry of market information. If investors learning these anomalies from the historical information, they can reasonably allocate market returns and risks by investment arbitrage strategy based on the calendar effect. In thi s process, the excess rate of return will be reduced gradually until it disappears, asset prices will be close to fundamental value, thus it can helps the futures price performs the price discovery function,improves the efficiency of the futures markets gr eatly and facilitates the perfection of market economy system.