In The Seasonality of Gold - The Autumn Effect he analyses gold returns for each month from 1980 to 2010, concluding “that September and November are the only months with positive and statistically significant gold price changes.”

Factors considered by Baur include the “fear trade”, the “Halloween effect”, Central Bank Gold Agreements, Asian cultural events, and even the “winter blues”.

You can download his research paper using the link on this web page.