It is known that the price of gold bars in Thailand has risen continuously since1999 comparing to that of the last decade. The significantly increase of gold bar priceshas now changed the style of gold trade from the past.Formerly, people purchased gold for decorative and savings purpose. However, atpresent people tends to change to their habit to purchase gold bars for investmentinstead. This is because investment in gold bars has less risk and has more return oninvestment than other types of investments; As a result, any studies or researches onfactors that affect the price of gold will help individuals and funds to plan theirinvestments more accurately.This study aims to examine the gold bar market structure in term of production,importation and pricing determination and also the influencing factors on the adjustmentof gold bars price in Thailand. To get the findings, the theory of demand and supply,theory of liquidity preference, monthly secondary data (from January 1999 to December2008) and model of “Autoregressive Conditional Heteroscedasticity (ARCH)”, which wasdeveloped by economists name Robert F. Engle (1982), were applied.