The Empirical Research Between China's Gold Futures And Spot Gold

On October 30,2002 Shanghai Gold Exchange started doing business, symbolizing that China had stepped out a solidly step in the gold market. On January 9,2008 the gold futures in Shanghai Futures Exchange is another milestone of Chinese gold market. The relationship between Shanghai Gold Exchange's variety and the gold futures naturally receives the attention from all. Especially as a newly emerged market, the global financial crisis poses a challenging issue for the healthy development of Shanghai gold futures market.In this paper, we use unit root test, cointegration test, Granger causality test, VAR and VEC models to have an analytical outlook on the relationship between the daily closing price of gold futures in Shanghai Futures Exchange and AU(T+D) in Shanghai Gold Exchange. Then we do empirical analysis on the influence of external shocks to these two markets by applying impulse response and variance decomposition in VEC model, sampling from Jan 9,2008 to Jan 10,2011 daily. The conclusion is:The prices of gold futures and gold spot are stable time sequences and there is a long-term equilibrium relationship between them. The spot gold price has obvious causality on the gold futures price, but the gold futures does not. Impulse response analysis suggests that the spot gold market has an important influence to gold futures markets, gold futures and spot gold present the positive interaction in short term. The pricing ability of gold futures market is not so good in short term. The variance decomposition shows that the price discovery function of gold futures has enhanced in the three years.In conclusion, there is a long-term equilibrium relationship between China's gold futures and spot gold. But the spot gold price basically has one-way casual relationship on the futures price in our country. The price discovery function of gold futures market is not occupy leading status. Data of the three years shows that China's gold futures market has already begun to go to a mature market through initial efforts.