London or New York: Where and When Does the Gold Price Originate?

11 Pages Posted: 16 Oct 2012

See all articles by Brian M. Lucey

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Charles James Larkin

Institute for Policy Research (IPR), University of Bath; Trinity College Dublin

Fergal A. O'Connor

University College Cork; University of York - The York Management School; University of Dublin - Business School and Institute for International Integration Studies

Date Written: October 15, 2012

Abstract

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

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

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

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University of Sydney Business School ( email )

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Ho Chi Minh City University of Economics and Finance ( email )

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Jiangxi University of Finance and Economics ( email )

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Charles James Larkin

Institute for Policy Research (IPR), University of Bath ( email )

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Trinity College Dublin ( email )

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Fergal A. O'Connor

University College Cork ( email )

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Ireland

University of York - The York Management School ( email )

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University of Dublin - Business School and Institute for International Integration Studies ( email )

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Dublin, Leinster D2
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