Research On The Effectiveness Of China’s Gold Futures Market In The Post Financial Crisis Period

In this paper, Today, gold is not only as a symbol of personal wealth, also as a strong backing for the steady development of a country’s financial system. On January9,2008gold futures contract in Shanghai futures exchange trading, gold futures in perfecting the market structure of China’s gold, is conducive to play gold futures as the function of resource configuration tool, is helpful to realize the price discovery function.2008, however, due to the subprime mortgage crisis and the impact of the global financial tsunami, the world has entered a downward cycle, gold futures market in China is also affected by the impact. During the financial crisis as an event segmentation point, in the wake of the financial crisis, the global economic recovery phase, gold futures prices began to rise. So in the wake of the financial crisis, with gold spot market complement each other in the futures market, its market effectiveness? Further, the futures market has price discovery function? Whether there is calendar effect?This article selects on January4,2010-April30,2014Shanghai gold main continuous contracts, and closing AU9995gold spot as a data source, after the financial crisis era gold futures on the spot market for empirical research in China. On the one hand, the closing price of gold futures in China data establish a GARCH (1,1) model, analysis of China’s gold futures market to see if there is calendar effect, the results show that there is the Monday Thursday calendar calendar effects and negative effects. The empirical analysis, on the other hand, the correlation between gold futures and spot gold, by building the financial time series analysis model, found gold spot market to futures market in China has one-way leading role. The empirical results indicate that, gold futures market in China has yet to spot gold price discovery and the trend of the guide a powerful influence, China’s gold futures market is still inefficient market, futures market system still needs further perfection and development, in order to play a role of basic function of the futures market. In this paper, the empirical study on gold futures market in China, a move that not only can reveal whether Chinese gold futures market has price discovery function and effectiveness, can also provide market participants and regulators with valuable information, to correctly understand China’s gold futures market has important theoretical significance and practical significance.