Empirical Study Of China's Gold Futures Market Efficiency

The establishment of china's gold futures market in 2008 represented the country's gold market system was basically founded. By the end year of 2010, SHFE gold futures volume already entered Top 10 of the world gold futures market. Under this situation, it's necessary to analyze the SHFE gold futures function and the operating efficiency. Find which factor affects our gold futures market efficiency is positive to our gold futures market further development.Firstly, the article analyzes the development of the gold futures market both in the domestic and abroad. This gives us the background of our next exploration, which aims for the SHFE gold futures market function.At the second section, the article explains the mechanism and the influence of price discovery and hedge in the futures market.In this context, our next section is about to analyze empirically the price discovery function and the hedge performance from a dynamic angle. From this angle, we could find there is long run equilibrium between the domestic gold futures price and the spot price, also between the SHFE gold futures price and the COMEX gold futures price. And we find the hedge through the SHFE gold futures can reduce risk from the gold price fluctuation. However, there are some imperfections in the SHFE gold futures. The SHFE gold futures price can not interact with gold spot price effectively, also lack of influence to the COMEX gold futures price. The hedge can run in the domestic gold futures market, but still not as perfection as it in the developed futures market.In the end, the article analyses the imperfections of the SHFE gold futures from the front section, and give some advices to develop our domestic gold futures market to the international one.