High-Frequency Price Discovery of Gold

59 Pages Posted: 21 Jun 2017

See all articles by Joerg Picard

Joerg Picard

Grand Valley State University

Date Written: June 20, 2017

Abstract

I analyze the price discovery process of gold by using high-frequency price series of three commonly traded gold investment products and find that first: modern markets disseminate new gold pricing information in less than one hundred milliseconds. My second finding is that gold future contracts lead the price discovery process of gold, closely followed by a physical gold based exchange traded fund — prices of an exchange traded fund based on gold mining stocks do not provide much informational content, but track the price of gold closely. This implies that institutional investors, who predominantly trade gold future contracts, lead the price discovery process; retail investors (trading ETFs) do not contribute much to price discovery and act as consumers.

Keywords: price discovery, gold, high-frequency trading, information shares

JEL Classification: C32, C55, G13, G14

Suggested Citation

Picard, Joerg, High-Frequency Price Discovery of Gold (June 20, 2017). Available at SSRN: https://ssrn.com/abstract=2990010 or http://dx.doi.org/10.2139/ssrn.2990010

Joerg Picard (Contact Author)

Grand Valley State University ( email )

Seidman School of Business
1 Campus Drive
Allendale, MI 49401
United States
+1-616-331-7404 (Phone)

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