Tag Archives: New York

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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Which matters and when for gold – London or New York?

Short answer : both, but at different times. This research applies a timevarying information shares analysis to 25 years of COMEX gold futures and LBMA AM gold fixes, and for the first time demonstrates when london and when new york contribute most to the determination of the world gold price

A paper on this is forthcoming in Applied Economics Letters, while here is a video discussing it and the paper itself can be on SSRN