How do macroeconomic news surprises affect round-the-clock price discovery of gold?

Neharika Sobti, Sanjay Sehgal and Balakrishnan Ilango

International Review of Financial Analysis, 2021, vol. 78, issue C

Abstract: We examine round-the-clock international price discovery of gold among the major gold markets—New York, London and Shanghai during news-intensive and no-news time zones using one-minute data. Using GMM based parallel price discovery measure, we find global leadership of the US as New York gold futures lead across five time zones with 56% information share. New York/London (Nylon) timezone (51%) is the most informative trading session in sequential price discovery for all markets in 24-h. Our aggregate and disaggregate news analysis reveals that the US news surprises have a substantial and positive impact on its price discovery leadership while Eurozone news surprises have a negative impact and Chinese news have negligible impact. Using least absolute shrinkage and selection operator (LASSO) regression, we find scheduled news with a large surprise index has a significant yet asymmetric impact as negative news triggers a strong reaction. The impact of news surprise is state-dependent and display sign-reversals during extreme uncertainty, adverse macroeconomic conditions and abnormal investor behaviour.

Keywords: Gold; Intraday Price discovery; Macroeconomic news surprise; Asymmetric effect; State dependence (search for similar items in EconPapers)
JEL-codes: C32 C58 G14 G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002209

DOI: 10.1016/j.irfa.2021.101893

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