Mechanical And Empirical Analysis On The Function Discovery Of Shanghai Gold Futures Market

In January9,2008, gold futures enter Shanghai futures exchange in China. Due to the dual attributes of commodity and money, gold futures has made domestic investors and speculators vigorously pursued. Gold futures market not only has the important guiding role on the spot market, and can further improve the money market, foreign exchange market, improve the international appeal of the financial market. At the end of2008financial crisis, more and more domestic investors enter the gold futures market, formatting an unprecedented scale. So we need study the important effect of the function of gold futures market after the financial crisis.The paper starts with the basic theory from the futures market function and analysis the mechanism about how the Shanghai gold futures market express it’s function,Then use VAR model, ECM model to do the empirical analysis, proving the effect of the function of price discovery and hedge and put forward some effective suggestions.The first chapter is the introduction, introduces the topics of the purpose and significance, combing the literature at home and abroad and make comments, At the same time also research methods and major innovations of this paper are briefly introduced.The second chapter elaborates the characteristics of our country since2009, the Shanghai gold futures market development, scale, and the market transaction environment.The third chapter analyzed the Shanghai gold futures market price discovery mechanism and the hedging function. From the marketing theory, consumer theory, scale economic theory and game theory to analyze the basic play the Shanghai gold futures market function, provides a theoretical guidance for the whole article proof.The fourth chapter is the empirical part, using autoregressive model analysis of the Shanghai gold futures market2009-2011as well as the two stage2011-2013price discovery function, model analysis of the efficiency of2009-2011and2011-2013during the two stages of hedging using error correction. The fifth chapter for further promoting the Shanghai gold futures market function, some policy suggestions are put forward. The policy proposals include four aspects, namely, the establishment and perfection of the spot gold market, the gold futures market development efforts, standardize the market participants, establish and perfect the supervision mechanism.