After-hours Electronic Trading System Is Needed For Chinese Gold Futures Market

China as one of the largest gold producing countries and the second largest gold consuming country launched gold futures in Shanghai Futures Exchange since 9 January 2008. However, since then Chinese gold futures faced with many problems like abnormal price movements, weakness in trading volume and weak influence on international pricing. Meanwhile, with the actual operation of the gold futures market, more and more relative theory are challenged and questioned. Especially the research on discontinuous trading influence on futures market should be strengthened.Lack of after-hours electronic trading system (hereinafter be shorted as AETS) which is one of the key differences between gold futures market in china and the international developed markets make Chinese gold futures market trade discontinuously. From this point, considering the characteristics of global gold trading and the actual operation of Chinese gold futures market, this article proposed that discontinuous trading would inhibit market's price discovery function and also deduced that discontinuous trading could inhibit Chinese gold futures market's price discovery function by crowding-out effect and additional risk compensation effect. Then, using cointegration theory and econometrics methods like Johansen test and Granger test, the article compared Chinese futures market's price discovery ability at the time of the market opening and closing which are the representative times of continuous and discontinuous trading conditions. The result proved the viewpoint that Chinese gold futures market's price discovery ability becomes weaker because of discontinuous trading. Finally, the conclusion is that it's needed to speed up the construction of AETS of Chinese gold futures market. The article also advised relative policy recommendations.This article has three key innovations. First, made acdemic research on the topic whether and why Chinese gold futures market needs AETS. Second, from the characteristics of global gold markets trading, considering the actual operation of Chinese gold futures market, deduced the result and conduction mechanism of discontinuous trading affect Chinese gold future market. Third, proposed the method how to compare the future market's price discovery ability between continuous and discontinuous trading conditions based on cointegration theory. Using this method, this article test Chinese gold futures market and proved discontinuous trading inhibit Chinese gold futures market's price discovery function indeed.