Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?
研究了2010至2018年间黄金现货、期货和ETF在日内价格发现和波动关联中的领导作用，发现期货全球领先，但2016-2018年ETF和现货在纽约和上海挑战其地位。
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.