Gold exchange-traded funds (ETFs) have amassed massive inflows from institutional investors globally. We examine intraday price discovery and volatility connectedness among three gold instruments—spot, futures, and ETF—across mature and emerging gold markets in domestic and international settings from 2010 to 2018. Using the network approach, we find that gold futures are a global leader in price discovery and volatility spillover. However, during 2016–2018, physical-gold-backed ETF and spot challenge the futures' leadership in New York and Shanghai. Intraday variation in price discovery leadership is due to liquidity, hedging effectiveness, price jumps, investor attention, and macroeconomic states.

中文翻译：

---

谁在日内黄金价格发现和波动性关联方面处于领先地位：现货、期货还是交易所交易基金？

黄金交易所交易基金 (ETF) 已经从全球机构投资者那里获得了大量资金流入。我们研究了 2010 年至 2018 年国内外成熟和新兴黄金市场的现货、期货和 ETF 三种黄金工具的日内价格发现和波动性关联性。使用网络方法，我们发现黄金期货是全球领先的价格发现和波动溢出。然而，在 2016-2018 年期间，实物黄金支持的 ETF 和现货挑战了纽约和上海期货的领导地位。价格发现领先的盘中变化是由于流动性、对冲有效性、价格上涨、投资者注意力和宏观经济状况。