
doi: 10.2139/ssrn.2657767
We study the impact and changes to the precious metal fixing structure that took place in 2014 and 2015 for Gold, Silver, Palladium and Platinum. On average, we find that there is negative price pressure going into the fixing auction, for all precious metals Futures, outside active US trading hours regardless of fixing structure. For active US trading hours, there is no obvious, observable persistent price pressures. Price pressure into the AM Fix usually reverses part of the prior gains that have taken place throughout the overnight session.Price for most metals generally increases between the PM Fix to the AM Fix and the negative price pressure may be due to liquidity effects as the Future price converges to an arbitrage free price or due to geographic preferences. The overnight market is illiquid for all metals. We find no conclusive signs that the price is manipulated into the fix given the data set, at least not on average. Nor do we find any significant change in the price and volume structure before and after the Fix changes. Given the higher transparency and more Fix participants we would have expected changes in the structure if it was manipulated before the change in the Fix structure. However, absence of evidence is not evidence of absence but we would need a different data set to conclude that the new Fix fixed the Fix.The drift we observe during the AM Fix is more likely based on expectations that the spot price established in the auction will be lower than the Future price that seems to have been pushed up outside US trading hours.
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