Who sets the price of gold? London or New York

Martin Hauptfleisch*, Talis J. Putnins, Brian Lucey

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

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. (C) 2016 Wiley Periodicals, Inc.

Original languageEnglish
Pages (from-to)564-586
Number of pages23
JournalJournal of futures markets
Issue number6
Publication statusPublished - 22 Feb 2016
EventDerivatives Market Conference - Auckland, New Zealand
Duration: 1 Aug 2015 → …

Keywords / Materials (for Non-textual outputs)

  • discovery
  • markets
  • futures
  • systems
  • impact


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