Overnight gold returns

Abstract

Overnight returns on the COMEX gold front month contract are significantly positive, whereas day returns are significantly negative (1985 through 2012). Similarly, overnight returns on the SPDR Gold Shares exchange traded fund are significantly greater than day returns. The asymmetry has weakened substantially over the years, but it is still present.

Keywords:

• gold
• market efficiency
• anomaly
• ETF

JEL Classification:

• G11
• G13
• G29

Notes

¹ Branch et al. (2010) point out that most limit orders are day orders. At the close of trading, the day limit orders are cancelled leaving only the good to cancelled orders. This substantially reduces the number of limit orders that are awaiting execution. The thin limit order book could cause diminished pricing efficiency and pricing errors when the market opens.