London or New York: Where and When Does the Gold Price Originate?
11 Pages Posted: 16 Oct 2012
Date Written: October 15, 2012
We investigate the information shares of the two main centers of gold trading, over a 25 year period, using non-overlapping 4 month windows. We find that neither London nor New York are dominant in terms of price information share, that the dominant market switches from time to time and that these switches do not appear to be very clearly linkable to macro-economic or political events.
Keywords: gold, information share, COMEX, LBMA
JEL Classification: C01, F49, G12, G15
Suggested Citation: Suggested Citation
Lucey, Brian M. and Larkin, Charles James and O'Connor, Fergal A., London or New York: Where and When Does the Gold Price Originate? (October 15, 2012). Available at SSRN: https://ssrn.com/abstract=2161905 or http://dx.doi.org/10.2139/ssrn.2161905
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