Monetary markets exhibit persistent calendar anomalies, which regularly defy the environment friendly‐market speculation by producing predictable return patterns tied to institutional or cultural occasions. On this paper, we doc a novel, globally pervasive drift in gold costs surrounding main wealth-oriented festivals throughout the 4 principal cultural and spiritual domains: Christianity, Islam, Hinduism, and East Asian syncretic traditions. Whereas every neighborhood endows its principal holidays with present‐giving rituals and conspicuous shows of wealth, the only real differentiator amongst areas is the exact timing of those festivities on the Gregorian calendar.
Our central thesis is that gold, owing to its twin function as a common wealth reservoir and socio-cultural standing image, experiences concentrated, holiday-induced shopping for stress that yields persistent and economically materials drift within the GLD ETF. By quantifying this impact throughout 4 distinct cultural calendars, we introduce a beforehand undocumented demand-side issue into commodity-pricing fashions.
By demonstrating that the ‘vacation impact’ is a globally pervasive phenomenon, transcending regional market microstructures, buying and selling hours, and native forex fluctuations, we spotlight gold’s distinctive function as a common medium of alternate for wealth transfers. This discovering has profound implications for international traders and policymakers, suggesting that cultural components ought to be thought of in worldwide asset allocation methods. This calendar-linked worth drift challenges present theories of asset pricing by revealing that socio-cultural consumption patterns can impose systematic biases on an ostensibly international and repeatedly traded commodity. Our findings advance the behavioral finance literature by illustrating how cultural calendars, as determinants of shopper habits, can systematically affect asset pricing. This underscores the need for integrating socio-cultural components into multi‐issue fashions of commodity returns and threat administration methods, thereby enhancing predictive accuracy and funding decision-making.
Background
The theoretical basis for our examine rests on the premise that gold capabilities universally as a retailer of wealth and a way of conveying socio-economic standing. Whereas earlier research of festival-driven anomalies think about idiosyncratic, local-currency, or fairness markets, we redirect consideration to gold, an internationally traded, low-correlation safe-haven. This pivot reveals that socio-cultural rituals exert a requirement impact so pervasive that it transcends nationwide boundaries and normal threat components.
Given gold’s low correlation with equities and its historic function in gift-giving rituals—starting from wedding ceremony dowries in South Asia, to Eid al-Adha presents within the Muslim world—it stands to cause that combination festival-driven purchases will generate irregular returns round key dates. We establish 4 main cultural clusters:
the Gregorian-calendar Christians,
the Islamic Hijri-calendar adherents,
the Hindu lunisolar calendar members, and
the East Asian lunar-solar pageant operators.
Selection of Included Holidays
Every cluster observes signature wealth-oriented celebrations: Christmas and Easter for Christians, Eid al-Fitr and Eid al-Adha for Muslims, Diwali and Akshaya Tritiya for Hindus, and the Lunar New Yr and Mid-Autumn Pageant for East Asian communities. Bolded ones are our factors of consideration included in technique creation, and introduced with knowledge sources within the following part.
Though the timing of those observances varies—shifting yearly for lunar occasions and stuck for photo voltaic occasions—their financial impact on gold demand is hypothesized to be temporally localized but globally detectable. By mapping these pageant dates onto a unified Gregorian calendar framework, we are able to conduct cross-regional comparative analyses of pre- and post-event worth habits in a single traded instrument.
Main Knowledge Sources
GLD ETF was chosen due to its ease of buying and selling entry to each institutional purchasers and particular person retail traders, as a consequence of its superb liquidity.
We supply each day GLD ETF worth knowledge from EODHD.com – the sponsor of our weblog. EODHD presents seamless entry to +30 years of historic costs and elementary knowledge for shares, ETFs, foreign exchange, and cryptocurrencies throughout 60+ exchanges, accessible by way of API or no-code add-ons for Excel and Google Sheets. As a particular provide, our weblog readers can take pleasure in an unique 30% low cost on premium EODHD plans. Our knowledge pattern is masking the interval January 2005 by means of July 2025.
Pageant dates of earlier-mentioned cultures and their schedules are obtained from Time and Date and validated towards Wikipedia, when wanted (for instance, Eid al-Fitr within the Gregorian calendar):
Pattern Impact Window Selection
We outline every occasion window from three/5 buying and selling days earlier than (D–3/D-5) to 3/5 buying and selling days after (D+3/D+5) the pageant date, with D0 representing the Gregorian calendar date of the observance.
Provided that some native exchanges shut for multi-day holidays, probably suspending futures and spot buying and selling, our evaluation depends completely on the American buying and selling calendar to seize steady gold-price dynamics.
For instance, HKEX is closed on Lunar New Yr’s Day D0, the second day of Lunar New Yr D+1, and the third day of Lunar New Yr D+2. On the identical time, the Saudi Alternate Vacation Calendar varies with no predetermined closing schedule (being closed at all times a minimum of 2 days earlier than and after the precise vacation).
Preliminary Evaluation
Our first, and preliminary, empirical strategy combines histogram evaluation of uncooked return distributions with calendar‐time cumulative irregular return (CAR) measures. We section the pattern into 4 regional cohorts and assemble 4 event-window charts to examine drift patterns visually:
Statistical inference is asserted utilizing austere linear observance to evaluate the importance of imply returns over the joint interval D–3/D-5 by means of D+3/D+5. Regardless of variations within the exact timing of peak drift throughout areas, we doc a strong, constructive gold‐worth drift surrounding all main wealth‐oriented holidays, thereby affirming our speculation that cultural ritual demand induces a predictable calendar anomaly in gold markets. We’ll get again to those seemingly random fluctuations and tackle them with our sensitivity evaluation and robustness take a look at of the choice buying and selling window whereas discussing doable implications later within the article.
These preliminary findings give us place to begin to develop easy methods that may be carried out to seize this idiosyncratic premium.
Easy Technique
After a number of makes an attempt at educated guessing to discover a typical sample and set a unified buying and selling window, we assess the efficiency of easy event-driven methods that purchase GLD on the shut of day D–2, holds throughout D-1, D0, D+1, and liquidate on the shut of day D+2, individually for every of the 4 cultural areas.
Cumulative fairness curves for the Western (Christian), Islamic, Hindu, and Confucian occasion home windows are plotted in Determine 1.
Abstract efficiency metrics are reported in Desk 1 within the trend of our normal reporting in Fundamental Overview of Portfolio Evaluation with annualized return, annualized volatility, Sharpe Ratio, most drawdown, and Calmar Ratio:
All 4 regional methods generate constructive common returns over the D–1 to D+2 window, with the Sharpe ratio excellent for Christmas, essentially the most well-known vacation worldwide in Western tradition. Most drawdowns stay modest (spinning for conventional Japanese areas) given the quick holding interval, and volatility is comparable throughout areas.
Different Technique
In exploring an alternate buying and selling technique that extends the occasion window to embody two days earlier than the vacation (D–2) and two days following (D+2), we anticipate a possible deterioration in efficiency metrics in comparison with the extra centered D–1 to D+2 strategy. This broader window might introduce elevated market noise and volatility, because it captures further buying and selling days that might be influenced by exterior components unrelated to the vacation impact.
Preliminary evaluation means that the cumulative return curves for this prolonged technique nonetheless exhibit virtually the identical constructive returns throughout the three cultural areas. Nonetheless, the Muslim counterpart lags considerably behind the primary technique model. The typical volatility is larger, and the Sharpe ratios mirror diminished risk-adjusted efficiency. Moreover, the utmost drawdowns might be extra pronounced, indicating the next susceptibility to hostile market actions in the course of the prolonged holding interval.
This underscores the significance of precision in timing when capitalizing on calendar-induced worth drifts within the GLD ETF, because the inclusion of extraneous buying and selling days might dilute the efficacy of the technique. This all boils all the way down to the preparation of an appropriate and optimum last, aggregated technique primarily based on these findings.
Remaining Technique
We subsequent assemble an aggregated “World Vacation Drift” technique that concurrently enters all 4 regional occasion home windows after they happen. Particularly, on every buying and selling day, we go lengthy GLD if it falls inside any D–1 (D-2 for various technique) to D+2 interval of a serious pageant in any area, and we shut all positions on the finish of that day’s aggregated window if no different open occasion window stays. Determine 3 shows the cumulative fairness curve of this unified technique, and Desk 3 experiences its efficiency.
The unified technique improves threat‐adjusted efficiency over any single‐area implementation, attaining a Sharpe ratio of 0.71 and a barely larger annualized return than the regional averages. Diversification throughout cultural calendars reduces drawdown threat and dampens volatility.
Lag of the Muslim world in the course of the various buying and selling window had an affect on the efficiency and threat of the choice technique, which confirms our speculation, that fine-tuning is perhaps wanted.
Our empirical findings verify the existence of a strong gold‐worth drift round main wealth‐oriented holidays throughout all principal cultural zones. The aggregated World Vacation Drift technique not solely yields economically significant returns with modest threat but additionally supplies actionable insights for traders searching for to capitalize on calendar results rooted in socio-cultural shopper habits. This sensible software of our findings can inform tactical asset allocation and threat administration methods, making it a invaluable useful resource for each institutional and retail traders aiming to reinforce portfolio efficiency.
A number of avenues stay for refinement. The exact alternative of entry and exit days could also be positive‐tuned by partial scaling out and in, dynamic sizing primarily based on realized volatility, or adjusting for occasion clustering when a number of festivals overlap. Incorporating transaction prices and liquidity constraints in much less liquid environments may additional calibrate the sensible implementation.
In sum, cultural calendars emerge as a strong new driver in commodity returns—one that may be built-in alongside momentum, carry, and volatility components in multi-factor fashions. Past mannequin specification, our findings carry strategic implications for each threat managers (tailoring hedges round vacation spikes) and portfolio managers (optimizing tactical allocation to gold throughout identified cultural demand home windows).
Creator: Cyril Dujava, Quant Analyst, Quantpedia
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