Empirical Research On The Efficiency Of Shanghai Gold Futures Market

The futures market with perfect trade mechanism is one of the advanced forms of market economy,and it can play an important role for hedging and the price discovery.An efficient futures market can not only reach the weak-form efficiency,but also can lead the price of spot market,and make huge effect to the spot market.People pay much attention to the gold because it combines the attributions of money, commodity and finance.As international reserve asset,gold can make up for deficiency and keep the currency rate stable and pay kinds of emergency as well.The gold performed the character of risk control especially when the sub-prime crisis first came out in July 2007 and swept the main financial markets such as US.,EU.and Japan quickly.Investors all over the world sold other sorts of financial instruments and bought gold for inflation-proofing and appreciation.And the gold became an important investment on its bull way.The gold production of China increases every year recently,and China produced 282.007 tons of gold in 2008 and is second to none.So China has to fight for gold pricing to avoid the loss because of the fierce volatility of the gold price.The gold futures listing on SHFE on Jan. 9th 2008 is a milestone of the gold market in China.It can not only fill in a gap of China's lacking of financial futures for a long time,but also make it possible for China's gold market to become a significant market.This paper,firstly,gives a brief introduction of the function of the gold futures and the main gold markets all over the world,and analyzes the current situation and characters of China's gold market by contrast.Secondly,it makes an analysis to the effects of the gold price home and abroad,which include the supply and demand factor,macroeconomics factor, interest rates,and exchange rates factors,relative commodities factors,war factors and sub-prime crisis factors and so on,and analyzes the unique factors of gold futures of SHFE. Thirdly,this paper based on the time series methods of ADF unit root test,series relative test, co-integration test,error correction model,Granger test,impulse response function test,and variance decomposition to take the empirical analysis of the gold futures market.And the conclusions are:Shanghai gold futures market does not come to weak-form efficiency from the aspect of price forecasting,and in spite of Shanghai gold futures market co-integrates Shanghai gold spot market,it is still not efficient from the aspect of price discovery.And the gold spot price granger the gold futures price only.And COMEX gold futures price is the basic reason to China's gold price,including futures market and spot market.Finally,it analyses the reason of the result and provides some proposals to solute the problems.