Title: Is gold investment in India seasonal? A comprehensive analysis using the OLS-GARCH model

Authors: Mahipal Y. Gadhavi; Niranjan Shastri; Rajdeep Kumar Raut

Addresses: STME, NMIMS, Indore, India ' School of Business Management, Narsee Monjee Institute of Management Studies, Indore, India ' Chandragupt Institute of Management Patna, Mithapur Institutional Area, Patna – 800001, Bihar, India

Abstract: We examined whether calendar anomalies are present across key gold investment avenues between 2016 and 2024. Applying the dummy variable ordinary least squares (OLS) method combined with the generalised autoregressive conditional heteroscedasticity [GARCH (1, 1)] model and validating our findings through the Kruskal-Wallis H test, we investigated for day-of-the-week (DOW) effect, the week-of-the-month (WOM) effect, the month-of-the-year (MOY) effect, the January effect, the quarter-of-the-year (QOY) effect, the turn-of-the-month (TOM) effect, and the Halloween effect. While weekday sensitivity for some fund-based products was evident, non-parametric validation rejects seasonality across all the instruments, suggesting weak-form market efficiency in the Indian gold market, found that none of the calendar anomalies is present in the gold markets in India. The findings of our study on the gold market strongly support the stochastic nature of gold price movements; hence, a seasonality-based timing strategy cannot be used for reliable abnormal returns.

Keywords: calendar anomalies; market efficiency; GARCH (1, 1); bullion market; Kruskal-Wallis H test; India.

DOI: 10.1504/IJFMD.2026.155930

International Journal of Financial Markets and Derivatives, 2026 Vol.10 No.3, pp.201 - 224

Received: 28 Jan 2026
Accepted: 01 May 2026
Published online: 26 Aug 2026 *

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