Fixing a leaky fixing: short-term market reactions to the London PM gold price fixing

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 4minutes 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.