As an important precious metal, silver has a wide range of applications in the real economy and daily life. But in recent years, silver prices fluctuate severely because of turbulent international situation, which improves uncertainty for business. As one of the biggest producers and consumers, China’s demands of hedge and risk avoidance for silver have increased. In this situation, silver futures contracts were officially launched on May10,2012. They provide not only hedging tools for producers, new financial products for investors, but also opportunities and chances for our country to participate in international pricing of silver in the future.This paper studies the relationships of silver prices among New York Commercial Exchange (COMEX), Shanghai Futures Exchange (SHFE) and Shanghai Gold Exchange by using unit root test, cointegration test, VAR and SVAR model, impulse response function and variance decomposition tool, with US dollar index as an exogenous variable. The main contents are as follows:(1) test of price lead-lag relationships among three markets from the views of opening prices and closing prices;(2) research on the price relationships based on non-synchronous trading.The results show that:(1) there is a cointegration relationship among the three markets;(2) COMEX plays a dominant role in price discovery;(3) SHFE’s influence on COMEX is relatively limited with time delay;(4) US dollar index has negative effects on silver prices in all three markets. |