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首页> 外文期刊>Journal of futures markets >Fixing a Leaky Fixing: Short-Term Market Reactions to the London PM Gold Price Fixing
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Fixing a Leaky Fixing: Short-Term Market Reactions to the London PM Gold Price Fixing

机译：修正泄漏的修正：伦敦市场下午对黄金价格修正的短期反应

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摘要

This article investigates the impact of the London PM gold price fixing on two exchange-traded gold instruments: the GC gold futures contract and the GLD exchange-traded fund. We find significantly elevated levels of trade volume and price volatility immediately following the fixing's start, well before the conclusion of the fixing and the publication of its results. Similarly, we find statistically significant return advantages in the 4 minutes following the start of the fixing for informed traders. We find no significant impacts or returns following the publication of the fixing results. Trades in the opening minutes of the fixing are significantly predictive of the price direction of the fixings, in some cases exceeding 90%. Combined, these findings support the following conclusions: that the London PM gold price fixing does have material impact on the exchange traded gold instruments, information from the fixing is leaking into markets prior the fixing results being published, and there exist economic returns for trading on these information leaks.
机译：本文研究了伦敦下午黄金定盘价对两种交易所交易黄金工具的影响：GC黄金期货合约和GLD交易所交易基金。我们发现，在定盘开始后不久，即定盘结束和结果公布之前，交易量和价格波动的水平显着提高。同样，对于固定交易者，在固定交易开始后的4分钟内，我们发现具有统计意义的显着回报优势。发布固定结果后，我们发现没有重大影响或回报。固定设备开盘时间的交易显着预测了固定设备的价格方向，在某些情况下超过90％。综合起来，这些发现支持以下结论：伦敦下午黄金价格定盘确实对交易所买卖的黄金工具产生了实质性影响，定盘结果发布之前，定盘信息正在泄漏到市场中，并且存在进行定盘交易的经济回报。这些信息泄漏。

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  • 来源
    《Journal of futures markets》 |2014年第11期|1003-1039|共37页
  • 作者

    ANDREW CAMINSCHI; RICHARD HEANEY;

  • 作者单位

    Accounting and Finance, UWA Business School, The University of Western Australia, 35 Stirling Highway, Crawley, Perth WA 6009, Australia;

    University of Western Australia, Perth, Australia;

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  • 正文语种 eng
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