Overnight and Weekend Gold Returns
Seidman College of Business
Gold returns from the end of day Friday to the end of the day Monday are significantly less than returns during the rest of the week. Parsing out the weekend returns, the paper shows that day returns on Monday are significantly lower than day returns during the rest of the week. This result indicates that the weekend effect is not a pure weekend effect but it arises from low returns on Monday as well. Additionally, the research finds that overnight gold returns are significantly negative while day returns are significantly positive.
Society of Business Industry and Economics
Blose, Laurence, "Overnight and Weekend Gold Returns" (2011). Faculty Scholarly Dissemination Grants. 200.