Research On The Pricing Mechanism Of China's Gold Futures Market And Its Efficiency

This paper,firstly,begins with the introduction of the gold market system of our country,then give a rough generalization of present status gold market development. Secondly,it makes an analysis to the effects of the gold price home and abroad,which include the supply and demand factor,dollars trends,commodity price index,international oil price,the stock market,interest rates,the international situation and fund position level,etc.Followed by combining the actual situation in our country,some endemic factors which effect on the price of our country's gold futures were analyzed.Then based on the above analysis, summing up the price forming mechanism of the gold futures price of our country. In order to validate whether gold futures prices are effective formed under this price forming mechanism, This paper uses ADF test, cointegration test and Granger causality analysis, to do an empirical analysis on the relationship between the gold futures price and spot price of our country. The results found that the price discovery function of our country's gold futures didn't get play.Then we use the same analytical procedure, to do an empirical analysis on the relationship between the gold futures price of our country and the gold futures price of New York., preliminary get the conclusion that the formation of our country's gold futures depend to a certain extent on New York gold futures price.Therefore,we can see that the gold futures maket of our country doesn't running effectively,need further consummated and more construction. Finally, this paper discusses some problems existing in the gold futures market of our country which are urgently to be solved,then proposed some suggestions to solve these problems, and perfect our gold futures market.