Empirical Research On Price Discovery Function Of China's Gold Futures Market

China's gold futures market was founded in Shanghai on January 9, 2008, marking the establishment of China's gold marketing system. It is of great importance to analyze the price discovery function of China's gold futures market, to explore the factors impacting on the function and find out the countermeasures, which benefits the development of the market when it is in its infancy.Firstly, this thesis analyzes theoretically the meaning, mechanism, factors of the price discovery function of the futures market. Based on that, this thesis analyzes empirically the price discovery function of China's gold futures market from a static and a dynamic angle. From the static angle, we are to test the consistency of gold futures price and spot price while to test that if gold futures price conduct the spot price from the dynamic angle. Empirical results show that the deviation of China's gold futures price between spot price is greater than that of the United States market; China's gold futures price does not conduct the spot price and there exists defects in price discovery function of China's gold futures market. Finally, this article respectively analyzes the causes from the aspect of the futures market and that of spot market, and puts forward corresponding countermeasures and suggestions.