Research On The Effectiveness Of China 's Gold Futures Market

China’s gold futures was firstly traded at the Shanghai Futures Exchange on January9th,2008. The emergence of the gold futures plays an important part in supplementing and improving the condition of the gold markets. Now China’s gold futures market has only run for a short time, so it is of great importance to analyze whether it has the function of price discovery. Through this analysis, not only we can see how far China’s gold futures market has gone, but also we can find the problems and solutions, which will be beneficial to the development of China’s gold futures market and the participants in this market.Firstly this article has a review for the corresponding researches at home and abroad, explains the definition, mechanism and influencing factors of price discovery and also analyzes various research methods. Then in the empirical part, it uses two methods to generate the continuous price series of the gold futures. From a dynamic perspective it tests whether the gold futures market in China has the function of price discovery and the relationship between China’s gold futures and New York gold futures. The result is:Though the main futures contract has shown the function of price discovery, the gold futures market in China as a whole hasn’t shown this function yet. Also the price of China’s gold futures is greatly influenced by the New York gold futures, which means that China’s gold futures market has no leading power in the international gold futures market. China has a long way to go to make its gold futures market international. Finally this article analyzes the existing problems in the development process of China’s gold futures market and proposes some corresponding solutions.