The Relationship Of China Gold Futures Market And Spot Market’s Prices

Gold has been highly concerned by all the people of the world because of its special properties. In October30,2002our country has taken the first step of entering the gold market which is opening of Shanghai Gold Exchange. In January9,2008that gold futures listed on the Shanghai Stock Exchange has become the next step in China’s gold market liberalization and development. This step has extremely important significance, which not only improving the unity of China’s gold market, but also improving the country’s gold market system.In the thesis, firstly the concepts of the gold futures market and gold spot market has been defined, secondly the meaning and the similarities and differences of gold futures and gold spot has been introduced, thirdly the author analyzed the relationship and effects of them, lastly described the domestic and foreign gold future markets and gold spot markets. I selected the price data of gold futures market and gold spot market from January4,2010to January4,2013,which is about707trading days as the sample. Then the price of China gold futures market and the spot market have been made empirical analysises which include the ADF unit root test, the VAR model, cointegration test, error correction model and Granger causality model. Research shows that the price series of our spot gold and gold futures is non-stationary, there exists a long-term cointegration relationship between them. Howerver, there have short-term fluctuations between them, gold futures price have faster changing speed than gold speed price. Spot price of gold influence the futures prices in one direction, the leading role of futures market prices is not obvious. This shows that there are still some problems in the Chinese gold futures market which lead the gold futures market price discovery function can not be effectively achieved.We can summe up many issues in Chinese gold futures market by above analysis, including the problem of Investor structure as well as Chinese gole futures’ product. Then I put forward corresponding countermeasures and suggestions of these two issues. we should promote China’s gold futures market towards the direction of more efficient and mature market.