The Empirical Research On The Price Formation Mechanism Of Chinese Gold Futures

China is one of the most important countries of producing and consuming gold. In recent years, the price of gold is continued high and fluctuated remarkably that increases the market risk. The corporation of producing and using gold, the financial institution and most investors need find out price and avoid risk by gold futures trading urgently. September 11, 2007, the China Securities Regulatory Commission approved the gold futures contracts to be listed at Shanghai Futures Exchange. January 9, 2008, Chinese gold futures are listed to trade officially at Shanghai Futures Exchange.Gold futures could further improve the function of the price of gold market, further improve the gold market system and price formation mechanism, exert the specific investment function of gold market, promote gold market and financial market to integrate in China and increase the speaking right of China in the world gold market which is beneficial to the gold production, management, processing enterprises to hedging transact and avoid market risk, to enhance risk management level, to enhance market competitiveness and international competitiveness and perfect the product mix of Chinese futures market to enhance our international competitiveness. Therefore, to know the basic function of our country's gold futures market, the price mechanism, the degree of relationship between gold features prices of Chinese with international gold market has a certain theoretical value and practical significance. The linear regression, ADL model,SVAR model, impulse response function, variance decomposition technique, the T test of yield and volatility, Granger causality test and other methods are applied to empirically study the gold futures price formation mechanisms and price volatility mechanism of our country.The result of the empirical test confirmed that Chinese gold futures price formation is mainly affected by the impact of London, Tokyo, New York, spot gold market, futures prices, the dollar index and the Dow Jones industrial average; the price fluctuation of gold futures of our country is mainly affected by the price fluctuation of spot gold in London and New York gold futures. Chinese gold futures market is already possess a certain degree of function of avoiding risk, but the price discovery function also hasn't been reflected, and also its international influence is still at a low stage of development. We should further improve the gold futures market operation mechanism in our country in order to stride toward the normative, levelheaded and international direction.