Global information distribution in the gold OTC markets

Chai, EFL; Lee, AD; Wang, J

Global information distribution in the gold OTC markets

Chai, EFL Lee, AD

Wang, J

Permalink

Publication Type:: Journal Article
Citation:: International Review of Financial Analysis, 2015, 41 pp. 206 - 217
Issue Date:: 2015-10-01

Open Access

Copyright Clearance Process

Recently Added
In Progress
Open Access

This item is open access.

Microsoft Word XML

Download Accepted Manuscript VersionMicrosoft Word XML (269.52 kB)

View on publisher's site

View statistics

Full metadata record

Field	Value	Language
dc.contributor.author	Chai, EFL	en_US
dc.contributor.author	Lee, AD https://orcid.org/0000-0001-5984-8688	en_US
dc.contributor.author	Wang, J	en_US
dc.date.available	2020-05-25T19:21:09Z
dc.date.issued	2015-10-01	en_US
dc.identifier.citation	International Review of Financial Analysis, 2015, 41 pp. 206 - 217	en_US
dc.identifier.issn	1057-5219	en_US
dc.identifier.uri	http://hdl.handle.net/10453/77450
dc.description.abstract	© 2015 Elsevier Inc. This paper aims to estimate the global information distribution in the OTC gold market. Using the two-scale realized variance as a proxy for information flow, we estimate the information shares of Asia, Europe, London/New York and the United States, with London/New York covering the two-hour overlapping trading in London afternoon and New York morning. We find that over the sample period of 1996 to 2012, the average daily information shares are 17%, 31%, 22%, and 30% for Asia, Europe, London/New York and the U.S., respectively. On a per-hour basis, the information share of London/New York is over two and half times of those of the rest of Europe and the U.S., and over five times of the information share of Asia. Despite doubling its share of OTC trading, Asia's information share actually declined from about 20% in the late 1990s to around 15% in 2009-2012, with the opposite trend for the London/New York market. Private information flow, measured by the volatility impact of unexpected order flows, has a flatter distribution across Asia, Europe, and the U.S., possibly due to the presence of the same large gold dealers in different markets. The declining information share of Asia and the concentration of information to the two-hour London/New York trading raise concerns for regional market development and global market stability.	en_US
dc.relation.ispartof	International Review of Financial Analysis	en_US
dc.relation.isbasedon	10.1016/j.irfa.2015.05.001	en_US
dc.rights	info:eu-repo/semantics/openAccess
dc.subject.classification	Finance	en_US
dc.title	Global information distribution in the gold OTC markets	en_US
dc.type	Journal Article
utslib.citation.volume	41	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1801 Law	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access	*
pubs.publication-status	Published	en_US
pubs.volume	41	en_US

Abstract:

© 2015 Elsevier Inc. This paper aims to estimate the global information distribution in the OTC gold market. Using the two-scale realized variance as a proxy for information flow, we estimate the information shares of Asia, Europe, London/New York and the United States, with London/New York covering the two-hour overlapping trading in London afternoon and New York morning. We find that over the sample period of 1996 to 2012, the average daily information shares are 17%, 31%, 22%, and 30% for Asia, Europe, London/New York and the U.S., respectively. On a per-hour basis, the information share of London/New York is over two and half times of those of the rest of Europe and the U.S., and over five times of the information share of Asia. Despite doubling its share of OTC trading, Asia's information share actually declined from about 20% in the late 1990s to around 15% in 2009-2012, with the opposite trend for the London/New York market. Private information flow, measured by the volatility impact of unexpected order flows, has a flatter distribution across Asia, Europe, and the U.S., possibly due to the presence of the same large gold dealers in different markets. The declining information share of Asia and the concentration of information to the two-hour London/New York trading raise concerns for regional market development and global market stability.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/39810