Research Of The Transmission Of Information Between Gold Futures Market And Gold Spot Market In China

Historically,gold has been regarded as one of the rarest precious metal,it was used for special circulation of money market,through a long-term evolution,it developed into gold market that consists of a spot and financial derivatives market.Because of gold's risk-averse,increasing value and other characteristics,gold was attracted by governments around the world and sought after by investors in the financial crisis.On January 9,2008,the gold futures was traded in Shanghai Futures Exchange,which meant that the Chinese gold market towarded a new process of the common development of futures and spot trading.After more than eight years of development,China's gold futures market is gradually keeping up with the international gold futures market.The proportion of Gold trading in Shanghai Gold Exchange also increases year by year,and investors' enthusiasm for gold investment has also continued to be active.But overall,China's gold market is still in its infancy,there are still many problems need to be studied.Especially the relationship between the gold spot market and gold futures market is not clear,which means that the study of this relationship becomes a significant issue.Because it is closely related with whether related industries can use the gold futures market to avoid or hedge risks,whether the investors is able to use gold futures to obtain benefits of arbitrage.Therefore,this paper will study this relationship from two angles,the price discovery and volatility spillovers.This paper chooses the high frequency data,which is separated by five minutes,of Chinese gold futures market and the spot market for the study.The gold futures' price time series of the futures market is the main five minutes of trading closing price in Shanghai gold market,and the gold spot market's price time series is the five minutes of trading closing price in Shanghai commodity market.The number of selected sample is 3552,the time span is from the March 3,2016 to April 19,2016.Co-integration test,error correction model,impulse response function and variance decomposition are used to study the price discovery qualitatively between the two markets.And common factor model is used to study contribution of price discovery of gold futures in China.The qualitative analysis concludes that the interaction of two-way guiding between the futures price and the spot price of gold.The guiding role of gold futures price is much stronger than gold spot price.And the gold futures'contribution of the price discovery is 83.28%in common factor model,higher than the contribution of the spot market which is 16.72%,which means Chinese gold futures keep a leading role in price discovery.In order to study the volatility spillover effect between gold futures and gold spot,this paper establishes BEKK-MGARCH model,which finds that there is volatility spillover effect between gold futures market and the spot market in a way.And the spillover effect of the spot market on the futures market is larger than the futures market spillover effects on the spot market.At the end,the article has a summary of conclusions and involves the shortcomings of this study.