London or New York: where and when does the gold price originate?

Abstract

We investigate the Information Shares (ISs) of the two main centres of gold trading, over a 25-year period, using nonoverlapping 4-month windows. We find that neither London nor New York is dominant in terms of price IS, that the dominant market switches from time to time and that these switches do not appear to be very clearly linkable to macroeconomic or political events.