From where does the gold price originate?

Here is some evidence…

We investigate which of the two main centers of gold trading – the London spot market and the New York futures market – plays a more important role in setting the price of gold. Using intraday data during a 17-year period we find that although both markets contribute to price discovery, the New York futures play a larger role on average. This is striking given the volume of gold traded in New York is less than a tenth of the London spot volume, and illustrates the importance of market structure on the process of price discovery. We find considerable variation in price discovery shares both intraday and across years. The variation is related to the structure and liquidity of the markets, daylight hours, and macroeconomic announcements that affect the price of gold. We find that a major upgrade in the New York trading platform reduces the relative amount of noise in New York futures prices, reduces the impact of daylight hours on the location of price discovery, but does not greatly increase the speed with which information is reflected in prices.

The full paper is here

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3 thoughts on “From where does the gold price originate?

  1. larryzb

    The rest of the world does not like this price fixing in London and in New York. Let the price of gold be set in Asia where most of the world’s physical gold changes hands. The paper market in New York is known to be a heavily manipulated market with endless shorting of futures contracts.

    Reply
  2. Pingback: Кто устанавливает цену на золото, Лондон или Нью-Йорк? — GoldInform

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