Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?

Sanjay Sehgal, Neharika Sobti and Florent Diesting

Journal of Futures Markets, 2021, vol. 41, issue 7, 1092-1123

Abstract: Gold exchange‐traded funds (ETFs) have amassed massive inflows from institutional investors globally. We examine intraday price discovery and volatility connectedness among three gold instruments—spot, futures, and ETF—across mature and emerging gold markets in domestic and international settings from 2010 to 2018. Using the network approach, we find that gold futures are a global leader in price discovery and volatility spillover. However, during 2016–2018, physical‐gold‐backed ETF and spot challenge the futures' leadership in New York and Shanghai. Intraday variation in price discovery leadership is due to liquidity, hedging effectiveness, price jumps, investor attention, and macroeconomic states.

Date: 2021
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