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Title: Price discovery of one security traded in several markets around the world

Authors: Stoyu I. Ivanov; Artem Meshcheryakov

Addresses: Department of Accounting and Finance, Lucas College and Graduate School of Business, San José State University, One Washington Square, San José, CA 95192-0066, USA ' Department of Accounting and Finance, Lucas College and Graduate School of Business, San José State University, One Washington Square, San José, CA 95192-0066, USA

Abstract: In this paper, we analyse the price discovery for SPDR Gold Trust, which is traded on five different markets across the world: the USA, Mexico, Hong Kong, Japan, and Singapore. We find that all prices in the five markets are identical until 23 January 2013 when the Hong Kong prices start deviating from the rest of the group. On 1 July 2013 Mexico joins Hong Kong and starts differing from the rest. We hypothesise that until 23 January 2013 price discovery occurs in the USA and the rest of the markets become price takers. We find that even after 23 January 2013 the US gold market of the SPDR Gold Trust ETF still dominates other markets with more than 90% of the price discovery when using the Hasbrouck information share methodology.

Keywords: exchange traded funds; ETF; price discovery gold ETF; GLD.

DOI: 10.1504/IJFSM.2018.089916

International Journal of Financial Services Management, 2018 Vol.9 No.1, pp.14 - 21

Received: 08 Oct 2016
Accepted: 26 Jan 2017

Published online: 09 Feb 2018 *

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