Benchmarks in the spotlight: the impact on exchange traded markets

Angelo Aspris, Sean Foley, Peter O'Neill

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


The Fix for precious metals is a global pricing benchmark that provides pricing and liquidity provision for market participants. We exploit the gradual change in the century old auction process to quantify the efficiencies related to more transparent pricing. Our focus is in the market impact of this change on exchange listed products. We find that reforms to the Fix have reduced quoted and effective bid‐ask spreads and improved overall market depth. The results imply a positive spillover effect stemming from timelier and more accurate pricing information. The conditions under which we observe the benefits from transparency are related to product liquidity and the degree of market segmentation.
Original languageEnglish
Pages (from-to)1691-1710
Number of pages20
JournalThe Journal of Futures Markets
Issue number11
Early online date7 May 2020
Publication statusPublished - 1 Nov 2020


  • benchmarks
  • fix
  • futures
  • gold
  • precious metals
  • silver
  • transparency


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