The Research On China's Gold Futures Market's Efficiency

Futures trading mechanism has much attention from investors. it is an efficient trading mechanism. Because it has the function of the futures price discovery mechanism and avoiding the risk. However, only the establishment of futures market trading mechanism does not make a good play at the futures market price discovering and hedging role. The playing of the futures market' function is not only relevant to futures trading mechanism, it also depends on the trading mechanism of the operating environment, such as domestic and international economic environment, corresponding to the spot and futures market conditions, investors and the overall circumstances. Because of it being both the financial, commodity and currency three properties, Gold has been the darling of investors. As an international reserve asset, gold has to maintain their exchange rates, balance of payments to make up the difference and deal with a variety of emergency payment. The global subprime mortgage crisis began sweeping the U.S., EU and Japan and other major international financial markets in 2007, making the international financial markets in a bleak, but the crisis was highlighting golden' function of risk aversion, because international investors have to throw other investment vehicles in their hands, and increase the investment in gold which has been in favor of increasing the value. January 9,2008 gold futures listed on the Shanghai Futures Exchange, marking the process of the gold industry in the market has taken a solid step, meaning that China's gold market to promote investment into gold, and beginning a new phase. Gold futures market in China to fill gaps in long-term lack of financial futures, and to provide investors with more investment channels. The introduction of gold futures has a positive effect to further improving of the market system and the pricing mechanism, so it has the market participants and supervisory authorities' attention. Gold'strong metallic and its important role in the international monetary system in the history determine the gold futures market being a very important market. As a country important part of the financial markets, therefore, continuing healthy development of the gold futures market is very important. The introduction of China's gold futures market relatively late, in order to better understand the current situation of China's gold futures market and the law of development, the paper studies China's gold futures market efficiency from the perspective of the futures market' prices.This theoretical research and empirical research will been combined to deal with domestic and international gold futures market and the factors affecting the price of gold. On this basis futures market efficiency theory are described. And then choosing gold futures contract in Shanghai Futures Exchange for the study, we use the quantitative statistical and econometric analysis methods to precede the empirical analysis the effectiveness of China's gold futures market. Through the research, we understand the current situation of China's gold futures market, and found the process of its development related issues and make recommendations to improve the efficiency of China's gold futures market.According to this line of thinking:This article is divided into five parts to discuss:PartⅠ:Introduction section, including the background of this study, relevant research literature review, and it focus on market efficiency literature review and research status at home and abroad.on this basis, the characteristics of the research is described in this paper.PartⅡ:China's gold futures market is outlined in this section. First we describe the development process of China's gold market, and highlight gold' supply and demand. Finally, the impact of several important factors on the price of gold is described.PartⅢ:we explain the effectiveness of the futures market from theory. First, futures market efficiency has been defined. We Proposed futures market efficiency of the system framework, hierarchy, and internal relations, and discusses the basic form of market efficiency hypothesis and, finally shows the effectiveness of the market in several forms commonly used test methods. On this basis, China's gold futures market efficiency is gained an empirical study. PartⅣ:we use ADF test, variance ratio test and runs test to proceed the empirical research of China's gold futures market. First we describe the selection and handling of the data used in this article. In this paper, we choose gold futures contracts in Shanghai Futures Exchange as empirical objects, spanning 2009 to 2011; then describe the use of three methods. Through ADF test, variance ratio test and runs test we proceed an empirical test on China's gold futures market weak-form efficiency using by statistical software, and conclude that China's gold futures market does not have a weak-form efficient.PartⅤ:From the operational mechanism of China's gold futures market and the status quo of China's gold futures market, we raise problems and issues for each tentative solution suggested.We want China's gold futures market to maintain steady development; we must constantly improve various measures to enhance their ability to service the real economy. In the current global economic recovery remains uncertain factors in the case, China's gold futures market of further the pursuit of sustainable development also depends on the domestic gold market system of continuous improvement; meanwhile, the overall gold market system should also consider actively promoting the gold spot market and futures market development.