Information Transmission Among World Major Gold Futures Markets: Evidence from High Frequency Synchronous Trading Data

23 Pages Posted: 19 Aug 2012  

Rapeesorn Fuangkasem

Thammasat University - Thammasat Business School

Pornchai Chunhachinda

Thammasat University

Sarayut Nathaphan

Mahidol University International College (MUIC)

Date Written: August 18, 2012

Abstract

This study examines the international information transmission among three major gold futures markets namely COMEX, MCX, and TOCOM. Two well documented approaches, which are VECM and information share, are utilized to measure the process of price discovery under this trivariate system. The uniqueness of this study is that it employs synchronous intraday time series which can mitigate the stale price problem from daily observations. The evidences indicate that the three gold futures prices are cointegrated and driven by one common factor. New arrival information disseminates efficiently among the three markets and the pricing information transmission among exchanges is very rapid. However, the lead-lag relationship among markets still exists with the dominance of COMEX gold futures as the centre of price discovery.

Keywords: Gold futures, Information transmission, Price discovery, High frequency synchronous trading data, Informationally linked markets

JEL Classification: G15, C32

Suggested Citation

Fuangkasem, Rapeesorn and Chunhachinda, Pornchai and Nathaphan, Sarayut, Information Transmission Among World Major Gold Futures Markets: Evidence from High Frequency Synchronous Trading Data (August 18, 2012). Available at SSRN: https://ssrn.com/abstract=2131592 or http://dx.doi.org/10.2139/ssrn.2131592

Rapeesorn Fuangkasem (Contact Author)

Thammasat University - Thammasat Business School ( email )

2 Prachan Road
Pra Nakorn
Bangkok, Bangkok 10200
Thailand

Pornchai Chunhachinda

Thammasat University ( email )

Bangkok, 10200
Thailand

Sarayut Nathaphan

Mahidol University International College (MUIC) ( email )

999 Buddhamonthon 4 Road
Salaya, Nakhonpathom, 73170
Thailand

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