Abstract
I analyze the price discovery process of gold by using high-frequency price series of three commonly traded gold investment products and find that first: modern markets disseminate new gold pricing information in less than one hundred milliseconds. My second finding is that gold future contracts lead the price discovery process of gold, closely followed by a physical gold based exchange traded fund — prices of an exchange traded fund based on gold mining stocks do not provide much informational content, but track the price of gold closely. This implies that institutional investors, who predominantly trade gold future contracts, lead the price discovery process; retail investors (trading ETFs) do not contribute much to price discovery and act as consumers.
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