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.

This article examines the long-run and the short-run elastic relationships between price, income and gold demand. Four major gold consuming countries in the world, such as India, the USA, Europe and Japan, are included in the analysis. The study period is from January 2000 to December 2017. Using the Cointegration and Error Correction model, we found a long-run relationship between gold demand, price and income of the consumers. Price elasticity is negative and income elasticity is positive in the long run. The speed of error correction is slightly higher for India. Indian gold market takes a shorter time to get back to its equilibrium than the other major gold consuming countries. India’s overall gold consumption is relatively lesser reactive to the fluctuations in the world gold price than the other countries. Consumers in India react expeditiously in the short run and their response to the price changes is stable in the long run. More than 70 per cent of India’s gold consumption is unaffected by the price fluctuations. This behaviour eventually increases the wealth in the country. Hence the study suggests that instead of curbing the demand, new financial products may be developed to monetise the gold lying idle in the households. Various gold monetisation schemes already launched by the government should reach especially the rural section, as most of them may not be aware of these schemes. This may tend to bring a considerable amount of gold into the system. JEL: G14, Q02, Q21