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Market openness and market quality in gold markets
Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
(English)In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934Article in journal (Refereed) Epub ahead of print
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Economics
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URN: urn:nbn:se:su:diva-165336DOI: 10.1002/fut.21969OAI: oai:DiVA.org:su-165336DiVA, id: diva2:1282421
Note

This paper studies the impact of market openness on market quality in gold markets, by investigating the openness event that occurred when the Shanghai Gold Exchange (SGE) launched an international board (SGEI) for foreign investors in China. Investors prefer to trade on the SGE than the SGEI, probably due to the SGE’s higher liquidity. In addition, using the New York Mercantile Exchange (COMEX) gold futures as the benchmark, we show the SGE experiences a significant increase in liquidity without a concomitant increase in volatility. Moreover, the SGE’s contribution to international gold price discovery increases after the openness event.

Available from: 2019-01-24 Created: 2019-01-24 Last updated: 2019-01-25Bibliographically approved

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Publisher's full texthttps://onlinelibrary.wiley.com/doi/abs/10.1002/fut.21969
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