China's Gold Futures Price Discovery Function Of The Empirical Research

In the modern market economy, futures markets make an important function because of its price discovery function and risk hedge function. And, whether the price discovery function can be performed well is also a good way to measure the effectiveness of the futures markets. Gold futures began to deal in the early of 2008. Because gold has the attributes of commodity and currency in both, in some way, the gold futures is not only a commodity futures, but also a finance futures. The research on the price discovery function is not just a test to the role of the new futures; it is a inspection of the effectiveness of the Chinese futures market with a 15 years history, also.Reviewing the researches of scholars either in China or abroad, we can find that the researches on the price discovery function were mainly focus on how the futures market to take effort and the ways to test the price discovery function. After review the relationship between the carry-cost theory, storage theory, rational expectation theory and price discovery function and the way in which the futures market promote the function took effort, we use the vector auto-regression model and the cointegration to test the price discovery function of gold futures market in China. The results illustrates that (1) the gold futures markets in China played a price discovery role very well; (2) the international gold futures price lead the price both in futures market and in spot market; (3) Chinese gold futures market had a good mutual conductance relationships with foreign gold futures markets.The innovation in this article is (1) there was still no article focus on the research on the price discovery function of gold futures market in China before this one; (2) importing the international futures price to analyze the price discovery function in internal futures market, this way can compare our own market with international market effectively and detect our shortcomings easily; (3) showing the rational and complete way to research with the VAR model and cointegration.