Premium Market Analysis

Market Statistics

A Significant Anomaly In GLD Gold ETF

Since GLD ETF inception, price evolution has been driven solely by overnight changes and regular trading hours have contributed only noise. This is a significant anomaly.

GLD ETF was one of two ETFs included yesterday in a Premium Insights article that display seasonality and price action anomalies.  In this article we focus on the price action anomaly in GLD only.

Since GLD ETF inception, daily changes (gray line on above chart) have been driven exclusively by overnight changes (red line on above chart) and regular trading hours (green line on above chart) have contributed noise.

This is what we wrote about this price action anomaly:

The above chart depicts a persistent anomalous price action that does not have a direct or clear explanation.

Causes of price action are difficult or impossible to discern. Due to the complex nature of markets, causes may not even exist or they may be emergent phenomena (or epiphenomena.)

One could argue that during regular trading hours market participants actions cause signal-to-noise ratio to fall near zero due to competition and as a result, their actions have no material effect on longer-term price evolution. However, this is just a hypothesis that cannot be proven.

A similar anomaly has existed since inception in SPY ETF but there are now some signals of a potential regime shift that is not confirmed yet. Click here for more details. 


Charting and backtesting program: Amibroker

Data provider: Norgate Data

If you found this article interesting, you may follow this blog via push notifications, RSS or Email, or in Twitter

Disclaimer

Price Action Lab Blog Premium Content