Empirical Study On Herd Behavior Of Chinese Gold Futures Market

Under the modern market economy, the gold futures market plays a spot market can notreplace the two basic functions, is a function of price discovery and risk transfer functionrespectively. At the same time, the stand or fall of gold futures price discovery function directlyaffects the effectiveness of the futures market. Gold at the same time two of the qualities of thecommodity and currency, gold futures is not only a commodity futures and financial futures.Gold futures in2008officially listed in Shanghai stock exchange trading, marks the formal newstrides in the gold market in China.2003, Jiang Xuelei return, Cheng Min, Wu Guofu CSAD method is obvious that China’sstock market exists in the "herd behavior".2007, Luo Xiaoling, Peng Qing using soybean futurescontract price and the total holdings of top20futures companies for cointegration relationshipand causality test, the results show that soybean futures markets in China are "herd behavior". In2009, shao YongTong, high robust on Chinese wheat futures market "herd behavior" has carriedon the empirical research. The results show that the wheat futures market in China from themarket as a whole or from the market rise or fall, there is no obvious "flock effect"This paper expounds the current status of development of gold futures market at home andabroad, on the basis of existing research results, with the state of the gold spot market pricefluctuations are analyzed, combed the theory research of herd behavior, the commonly used athome and abroad for reference, the empirical method, return to use CSAD model, ADF unit roottest on Chinese gold futures market from2010to2012, the futures price data statistical analysisresults of herd behavior in empirical research, the results show that China’s gold futures marketwhole herd behavior is not obvious, rising phase obvious herding behavior, falling stage does notexist herding behavior. And the herd behavior of gold futures in China, put forward policies andSuggestions of perfecting China’s gold futures market.