The $30+ trillion annual trade in precious metals, until very recently, relied on a price benchmarking mechanism dating backing to the late 19th century- the London Fixing. This market microstructure study examines the interactions of this benchmarking auction with continuously trading spot and futures markets. I find strong empirical evidence that the fixing induces an exploitable information asymmetry and a price bias. The trade advantage, found to be significant and economic. increased with the transition to electronic futures trading midway through the study period, 2000 to 2013.
|Qualification||Doctor of Philosophy|
|Award date||15 Dec 2016|
|Publication status||Unpublished - 2016|