Effectiveness Research Of Gold Futures Market In China

Since2008, the outbreak of the subprime crisis in the United States led to a series of chain reaction, and gradually evolved into a global financial crisis. The economic recovery lasts three years, but economic growth is still at the low level. Developed economies, emerging markets and developing economies are facing different difficulties. This year, the slow growth trend will continue. Under this situation, gold and related financial products has regarded as a hedge and attracted much attention. As the pioneer of China’s financial futures, gold futures play an important role in our financial market.As gold futures have been traded for five years in China, we need to focus on its effectiveness. On the one hand, the test of the effectiveness of the market is periodic inspection on market for examining whether it plays a proper role or not; on the other hand, the test provides a theoretical and practical basis for futures market. For investors, it can provide the degree of market effectiveness and corresponding risk-control strategy; For relevant departments, it can provide the reasons of ineffectiveness and makes the market to improve; For other financial futures, especially the silver futures for recently introduced in our country, it can provide the adaptation degree of the market and the futures contracts in China, and provide a shortcut for other financial futures.In this paper, the research on the effectiveness of the gold futures market in China is divided into four parts. The first part:on the basis of combing related research, it puts forward the question of how to test the effectiveness of the gold futures market in China. The second part:it introduces the generation of gold futures, the influence factors of price and development situation of main gold futures market in the world. The third part: based on the theory of market efficiency, it does some empirical researches on Chinese gold futures market. The fourth part:according to the result of empirical research, it analysis the reason and puts forward suggestions for improvement.According to the particularity of gold futures and explanations of marketing effectiveness, the research on the effectiveness of the gold futures market in China would proceed respectively from pricing efficiency and information efficiency.Pricing efficiency of gold futures is the leading relationship between futures and spot goods. The result of the ADF unit root test shows that the futures and spot goods price series are both integrated of order1.There is a long-term equilibrium relationship between these by Johansen test. Through the error correction model, we get a moderate strength short-term correction rate. In the end, based on Granger causality test, we found that gold spot price is guiding the futures price, but futures don’t. It shows that China’s gold futures didn’t effective in pricing.Information efficiency of gold futures is a full and timely response of prices made by information. Through calculation the history volatility, the realized volatility and the daily amplitude of China’s gold futures in2008-2012years, we found that fluctuations of the price become steadily. To test the ability of market to response the information, we choose the runs test and the R/S test to test. Finally it concluded that China’s gold futures price volatility is random for it’s able to digest the market information in time. So it’s effective.Unlike previous empirical results, this paper found that China’s market is effective in information transfer, but it’s ineffective in pricing. Aiming at guiding ability of the futures, it raises some corresponding suggestions from futures contracts, trading rules and investors.