The gold price Around the Clock. 1990.
Discussions around the gold price focus on two major market prices in their analysis, the London Fixings Spot Price and COMEX futures prices. Laulajainen (1990) studies three gold markets (London, New York and Hong Kong) building a 24 hour trading day with daily prices from each market in order to rank them in terms of importance.
Using a VAR model in levels it is shown that COMEX effects the other two markets more than it is affected by them, making it either dominant or independent according to the author. An issue with this analysis is that London’s importance is possibly understated as the PM fix is used. The PM price overlaps with US trading, unlike the |AM Fixing, and it is possibly more to be related more to New York’s, whose closing price of 19.30 GMT is used. An issue is that the PM fix is used and as this price overlaps with US trading it is likely to be related more to New York’s whose closing price of 19.30 GMT is used. Also the specification in level ignores statistical problems such as unit roots and integration.
Reference: Laulajainen, Risto. “Gold price round the clock: Technical and fundamental issues.” Resources Policy 16.2 (1990): 143-152.