| 2012is signalized by the development of our futures market. In February13, China Financial Futures Exchange officially launched the Treasury futures simulation trading after seventeen years. In May10, Shanghai Futures Exchange launched silver futures contracts which are the second precious metals futures after gold futures were launched in January9,2008. In December3, China Zhengzhou Commodity Exchange launched the first glass futures contracts. In2013, Maijun Yang, chairman of the Shanghai Futures Exchange, said to the media during the two sessions, that crude oil futures are expected to be launched this year. Currently, in addition to oil futures, commodity futures have listed. As a derivative, futures are the fastest growing.Throughout a large number of foreign literatures, experts and scholars make little research on commodity futures. As the only financial asset which has intrinsic value, gold has both commodities properties and financial attributes. So, this paper select gold futures contracts and their gold spot as the research object. At the same time, domestic experts and scholars also make little research on the effect of gold futures on the gold spot market volatility. Based on the above two reasons, this paper make Information Transmission between gold futures market and spot gold market as the main line, and select the characteristics of information transmission, such as price and volatility, as the specifically research object. Then we use the day’s closing prices and date yields of the gold futures contract and Au99.99to take the empirical test. There are three Implications for research. One, this study favors the financial regulators to make effective measures on the promotion of market regulation and efficiency of the gold market. Second, this study can provide guidance to silver futures and oil futures. Third, this paper also helps investors to plan and develop risk management strategies and portfolios.Firstly, this paper analyzes the theoretical basis of the information transmission between gold futures market and gold sport market. Secondly, based on the theory, we take the empirical test. Finally, we use the empirical results to explain the information transmission between gold futures market and gold sport market.This article has six chapters; the main structure and framework are as follows:The first chapter is Introduction.The second chapter is the development of the gold market. First, introduce the development of the world gold market. Second, introduce the development of our gold market.The third chapter is the theory of the information transmission between gold futures market and gold sport market.The fourth chapter is the empirical test of the guide relation between gold futures prices and gold sport prices. We use the day closing price of gold futures contracts and Au99.99from January9,2008to February26,2013as the research object, and then use a series of models to verification their relation.The fifth chapter is the empirical test of the effect of gold futures on the gold spot market volatility. Firstly, as January9,2008a dividing point, we divide the day yield of AU99.99into two samples. Then we use GARCH model to verification the change of the gold spot market volatility and Information efficiency after the gold futures was lunched. We find that after the gold futures was lunched, the gold spot market volatility is larger and Information efficiency is weakened. Secondly, we use the day yield of AU99.99from October30,2002to February26,2013as the research object, then we use GARCH model which is introduced of dummy variables D to verification the effect of gold futures on the gold spot market volatility from the static point of view. We find that the gold spot market volatility is slightly larger after the gold futures contract was lunched. Thirdly, we use the day yield of AU99.99and the gold futures from January9,2008to February26,2013as the research object, then we use the Harmo fluctuations overflow model verification the effect of gold futures on the gold spot market volatility from the dynamic point of view. We find that the gold spot market volatility is also larger after the gold futures contract was lunched.The sixth chapter is summary, deficiency and prospect. First, summarize of the empirical results and analyze the reasons. Second, again stress this research significance for results. Third, analyze of the deficiencies of this article, and raise the outlook for further research.In this paper, the following three innovations:One, the research object is newer.Throughout a large number of foreign literatures, experts and scholars make little research on commodity futures. At the same time, domestic experts and scholars also make little research on the effect of gold futures on the gold spot market volatility. So, we think the research object is newer.Two, the research methods are newer. We use GARCH model, GARCH model which is introduced of dummy variables D, and the Harmo fluctuations overflow model to verification the effect of gold futures on the gold spot market volatility.Three, the data is more comprehensive. This paper selects the gold spot market data from October30,2002, when the Shanghai Gold Exchange is established, to February26,2013.And, we also selects gold futures market data from January9,2008, when gold futures contract was launched at the Shanghai Stock Exchange for the first time, to February26,2013.At the same time, this article also has following inadequacies:One, this paper main analyzes the information transmission between gold futures market and gold sport market. We use AU99.99as the representative of the gold spot market. Based on the volume of transactions and trading volume in recent years, we find Au99.99is the most active specie, but the most active specie is different in different periods. So, how to choose the most suitable representative of the gold spot market will be a research direction.Two-, this paper main analyze the information transmission between gold futures market and gold sport market from the guide relation and the volatility. But, the market characteristics of the process of information transfer also include the liquidity. So, we should take full account of these characteristics factors to analyze the information transmission between gold futures market and gold sport market.Three, this article uses of a large number of models to analyze the information transmission between gold futures market and gold sport market.But as long as the model, there are a lot of assumptions. Due to the existence of the assumptions, the reliability and authenticity of the conclusions require a lot of follow-up studies to confirm.In order to combine the predecessors’ research results with the empirical test, this paper tentatively analyzes the Information Transmission between gold futures market and spot gold market. But given the shallow knowledge and the lack of work experience, there must be many deficiencies and one-sided viewpoints in the article. Please experts and scholars to give criticism and correct. I will continue to learn and explore in the later work. Thank you for all the review and answer teachers!... |
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