| More and more investors paid attention to the gold market,because of the world economic recession.On January 9,2008,The establishment of gold futures in Shanghai futures exchange represented China’s gold market has founded a new structure of futures and spot trading,and SHFE was geared to international standards.Although SHFE has developed for nearly 7 years,but the gold futures market was still in the start stage.So whether our gold futures market can display the price discovery function is important to both the development of China’s gold market and the investors. The article reference the previous experience.Firstly,the article make theoretical analysis of definition and mechanism of price discovery.Then,the next section is about to make empirical analysis from the dynamic angle.In this part,the article selects data between January 2009 to June2013,and July 2013 to July 2014,using unit root test,cointegration test, error correction and impulse response,measuring the relationship between the gold futures price and the spot price.The results show that,in the first periods, China’s gold futures market does not have the function of price discovery.However,in the next periods,futures price can lead spot price,the gold futures market has been preliminary have the function of price discovery and turn to the effective market.In the end,the article give some advice to develop our gold futures market by using the foreign advanced experience. |
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