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London or New York: where and when does the gold price originate?

Author

Listed:
  • Brian Lucey

    (Institute for International Integration Studies, Trinity College Dublin)

  • Charles Larkin

    (Cardiff Metropolitan universityAuthor-Name: Megan Mulholland
    Trinity college Dublin)

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.

Suggested Citation

  • Brian Lucey & Charles Larkin, 2012. "London or New York: where and when does the gold price originate?," The Institute for International Integration Studies Discussion Paper Series iiisdp410, IIIS.
    • Handle: RePEc:iis:dispap:iiisdp410
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    Keywords

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    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • F49 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Other
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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