Information Transmission Among World Major Gold Futures Markets： Evidence From High Frequency Synchronous Trading Data

This study examines the international information transmission among three major gold futures markets namely New York Mercantile Exchange in division of Commodity Exchange （COMEX）, Multi Commodity Exchange （MCX）, and Tokyo Commodity Exchange （TOCOM）. The main concept of this research is no matter where gold futures traded, they share the same underlying asset. Two well-documented approaches, which are vector error correction model and information share, are utilized to measure the process of price discovery under this trivariate system. The uniqueness of this study is that it employs synchronous intraday time series which can mitigate the stale price problem from daily observations. The evidences indicate that the three gold futures prices are cointegrated and driven by the same fundamental factors. New arrival information disseminates efficiently among the three markets and the pricing information transmission among exchanges is very rapid. However, the lead-lag relationship among markets still exists with the dominance of COMEX gold futures as the centre of price discovery The US gold futures market is the most efficient in processing information. Its role on price discovery and information can be attributed to COMEX＇s massive trading volume.