An Analysis Of The Effect Of The Change Of Gold Futures

Since January 9,2008, the Shanghai Futures Exchange, gold futures opened. Trading will initially set up a 5% price limits. Such price volatility limit volatility main purpose is to limit the introduction of the trading system market in a short time, to stabilize the market. Gold futures advanced countries like the U.S. gold futures market in Hong Kong is no price limit. However, compared with the international developed markets, China’s gold futures market is still in the development stage, trading in the continuous improvement of the system. Comprehensive understanding of the system of price limits and in-depth exploration becomes very necessary.Research paper is price limits on market liquidity, volatility and price discovery role of function generated. Review of studies found that the price limits for a lot of controversy, scholars have proposed three negative effects of its existence. This article will be a major international gold market trading system were compared, focusing on analysis of the main gold futures market stabilization measures the difference between the market can provide ideas for improving China’s price limit system. China’s gold futures market research firm the use of transaction data, including date of transaction data and five minutes transaction data, price limits interference may bring liquidity, volatility and price discovery validation delay spillover effects conducted.Mobility studies, to build an effective flow rate of turnover and two indicators to measure market liquidity for day trading data analysis learn from the previous event analysis and comparison groups combined method, using non-parametric tests by SPSS software the Mann-Whitney test was used to complete the assessment of the liquidity interference effects; draw on market microstructure research methods, the use of five minutes transaction data to establish the ARMA-GARCH model, by EVIEWS software to estimate the parameters of the model, based on the estimated results to verify the relevant significant degree of effect. Comprehensive analysis shows ups and downs that appear next stop is indeed increased liquidity, liquidity confirmed interference effects. Market volatility as measured by earnings volatility, volatility of day using non-parametric tests, for 5 minutes to build ARMA-GARCH volatility model, comprehensive analysis, price limits is limited to the volatility of the day, will be released in the future, bring future volatility increases, the volatility spillover effect is established. Delayed effects on price discovery, yields were established overnight and the next day yield index, observe the direction of price volatility after price limits. Different groups of non -parametric test results show the next day’s price limits yield significant trend reversal, and no prices continue to fluctuate in the same direction, there is no price discovery delay effect.