The Empirical Study On Price Discovery Of China's Gold Futures Market

As a kind of precious metal with both commodity and monetary attributes,gold is extremely important to a country in stabilizing its economy,improving its national credit and dealing with fluctuations in international financial markets.Therefore,many countries are actively committed to developing a healthy gold market.However,under the influence of various factors such as gold supply and demand,exchange rate fluctuations and politics,the price of gold keep fluctuating from time to time,and sometimes caused losses to enterprises who are engaged in gold industry.In this case,gold futures will play an extremely important role to the spot market.Futures market has two functions-price discovery and hedging,it could not only help people avoid the risk of price fluctuations,but also help to guide the market to operate healthy.It is a remarkable fact that the effectiveness of the price discovery function is an important indicator to judge whether the futures market is mature and efficient.China formally launched the gold futures on January 9,2008,and the market has gradually gone through 10 years of exploration and development.Today,has China's gold futures market have the function of price discovery or not? What is its status in the international futures market? What are the relations between China's gold futures market and the spot market and the international futures market? How do their price changes communicate with each other? This is the issue to be explored in this article.This article is divided into five parts.The first part is the introduction.First of all it elaborates the research background and significance,and introduces the research content,methods,innovations and shortcomings of this article.The second part reviews the domestic and foreign literature on the function of price discovery in the futures market,especially in the gold futures market,and expounds the theory of the price discovery function.The third part introduces the general situation of the gold futures market in China and abroad,and gives a brief understanding of the three gold futures markets to be analyzed in this article-China's spot market,China's futures market and the international futures market.The fourth part carries on the empirical analysis of China's gold futures price discovery function.This article chooses the gold futures price in our country,the gold spot price in our country and the international gold futures price,to analyze the mutual guidance and the influence relationship among the three markets,so as to explore China's price discovery in the gold futures market,the status in the international market and so on.The fifth part draws a conclusion according to the result of the empirical test and analyzes the factors which restrict the price discovery function of China gold futures market in our country and puts forward some policy recommendations.This article draws the conclusions by empirical analysis that there is a long-term equilibrium relationship between the price changes of China's gold futures and spot prices market.However,the gold spot market dominates in price guidance,and makes a one-way guide to the price changes of the futures market.And the price discovery function of China's gold futures market has not yet been effectively demonstrated.This is related to the current status of the market,which is mainly caused by factors such as small market liquidity,unreasonable structure of trading entities,and fragmentation of the spot and futures market.China's gold spot and futures markets have been merged into the international market,but the influence is relatively small.The prices of international gold futures play a one-way guiding role in the domestic market price changes.Whether influenced by the international gold futures market or influence it,the performance of China's spot market is more outstanding.The current development status of China's gold futures market does not match with the huge domestic gold supply & demand and the economic scale.Therefore,how to develop the gold futures market and expand the price influence is the problem that we should focus on in the future.