Financial markets are highly sensitive to the flow of information. The nature and arrival of information impact the price of gold. Gold, an international commodity, is traded across the world. Hence, the size and sign of information in any one country may be expected to affect the international gold price fixation. The objective of the study is to analyse the information spillover and the leverage effect transmitted from major gold consuming countries to the fixation of London Bullion Market Association (LBMA) AM fix and PM fix prices and how significantly the information of Indian market contributes to the price fixation. The multivariate exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model proposed by Koutmos and Booth (1995, Journal of International Money and Finance, 14(6), 747–762) is used to analyse the daily spot gold price data of major gold consuming countries like India, the USA, Europe and Japan. The results concluded that price and volatility of major gold consuming countries spill over to the LBMA AM fix and PM fix prices. LBMA AM fix and PM fix prices are sensitive to the new information and their price movements are significantly influenced by the information from India and the USA. The leverage effect shows that positive information causes more volatility in the LBMA fix prices than negative information. The study suggests that the investors, bankers, wholesalers and retail customers who depend on LBMA fix prices as a benchmark price can predict them by utilizing the information received from the Indian and US markets. They can specifically look for positive news than the negative news, as they have more impact on the spillover effect.
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