Study Of The Connectedness Between China's Gold Market And The Main International Gold Market Base On The Spillover Index

Since ancient times,gold is a symbol of wealth,it also combines the properties of goods,monetary and financial attributes,in particular its hedge and hedging functions are well recognized.With the enhancement of comprehensive strength in recent years,China is worthy of the "gold club" no matter on the gold production,consumption or volume.However,both the sense of presence and the power of discourse of China's gold market in the international arena don't match the title of "gold club".The gold market is an important component of China's financial market,it is benefit for the internationalization of RMB and the investors if we can win the pricing power.For the past few years,many efforts we have made to win the gold pricing power,from the "Shanghai gold",to the "Shanghai-Hong Kong gold Connect" opened,to the"Shanghai gold pricing." Then,if our country's position in the international gold market has improved and how our country,gold market and the international gold market co-movement are the main research contents in this papers.This paper will use the concept of spillover index to study the connectedness between our country's gold markets and the international gold markets.Selecting the London Bullion Market and New York Gold Market on behalf of the international gold markets.Selecting the Shanghai spot gold market and the Shanghai gold futures market as a representative of China's gold market.This paper intend to use the intraday date and setting the research interval from January 2008 to January 2017.Results indicate that:when the economic environment is full of uncertainty factors,the spillover index performs rising trend.When the economic environment is steady,the spillover index will keep at a lower level.London Bullion Market and New York Gold Market always have positive net spillover indexes,indicating that they are the net givers of spillover.And to a large extent China's gold market is the "shadow market" of the two international gold markets.But the influence of our country's gold market have enhanced since second half of 2015.However,whether this trend can sustainable is another matter.In terms of winning the gold pricing power we still have a arduous and long way to go.