We examined the relationship among Indian gold exchange-traded funds (ETFs), spot, and futures markets through price discovery and volatility spillover. Eleven gold ETFs traded on NSE, spot price prevailed in Ahmedabad, and the nearest futures contract traded on the MCX have been chosen for the study. The period is taken from the inception of each gold ETF till 31 December 2023. We used a new measure, i.e., price leadership share (PLS), based on the Markov chain and found that the futures market leads in price discovery. The ETF market's price discovery is improved compared to the spot market. Applying the TVP-VAR extended joint connectedness approach; we found that futures transmit volatility, while spot and ETFs are net receivers. These findings have important implications for government policy making and investors' risk management strategies. The study contributes new evidence on the price discovery and volatility transmission dynamics in the Indian gold market.