The Gold Market Price Discovery Function Study

In this dissertation, a research has been made on Gold Price Mechanism and Price Discovery Function in China gold market on the strength of double attributes of gold.First of all, this dissertation makes both qualitative and quantitative study on the determined factors in Gold Price Mechanism by using approaches of supply-demand theory, Macroeconomics theory, Unit Root test, Granger Causality test and Co-integration test. The study reveals the distinct attributes of gold which are stable intrinsic value and ingenerate gift against inflation, and necessary to develop China gold market to integrate China financial market.Second this dissertation analyzes operational mechanisms of international main gold markets and China gold market from the angle of Microstructure theory and Comparative Institution theory. This analysis makes an institutional foundation for empirical analysis of efficiency of China gold market.At last this dissertation makes an empirical analysis on Price Discovery Function in China gold market compared to US gold market. This dissertation makes a J-J co-integration test according to VAR model, builds a VEC model based on co-integration test result, and then makes Impulse Response and Variance Decomposition analysis. This dissertation makes a causation analysis on the basis of empirical result, and suggests constructive and practical measures for developing China gold market.