Too Precious To Fix?: The London precious metals fixings and their interactions with spot and futures markets

Research output: ThesisDoctoral Thesis

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Abstract

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.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • The University of Western Australia
Award date15 Dec 2016
DOIs
Publication statusUnpublished - 2016

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