The Empirical Study On The Effectiveness Of The China’s Gold Futures Market

Gold can be used as currency, is also a kind of merchandise but also has financial characteristics, so become popular in the gold market, investors are becoming more and more. As China’s gold futures listed on the SHFE in January9,2008,gold gradually burst into the public’s perspective, it become a popular investment varieties, and the situation that the lack of financial futures in China for a long time was reversed, and that the gold market in China has stepped into a new development stage of opening. From the year2008to2012, gold futures market in China rapidly growth, the gold futures trading in our country gradually mature. By2013, China’s gold futures trading in continuous innovations such as the bonus release, trading more active than in previous years, among them,gold futures in SHFE ratio increased, all kinds of institutional investors participation significantly increased, the gold futures legal turnover in total turnover ratio improve. The most of the members in SHFE are all involved in gold futures trading, and the domestic banks become self-supporting members, including bank of communications, industrial bank, industrial and commercial bank of china and so on. Many enterprises of our country also participated in gold futures trading, including the major gold production enterprises such as Zijin group, Shandong gold, also including some related enterprises, are actively involved in the gold futures market, but also makes full use of the positive function of the gold futures market to lock the cost, gold futures participation is gradually improve. Although since the listed of the gold futures exchange, the business is rapidly developed, the market is expanding, but compared with the mature gold futures market system, China gold futures market there is still a big gap in many ways, directly affect the effectiveness of gold futures market and its positive role in the development of national economy in China. The mainly reason are such as the transaction varieties of the market are single; the small scale and the lack of liquidity in the market; low participation rate of the market, lack of awareness of investment risks, the connection of the gold futures market and the spot market is not tightly; the low level of internationalization, the lack of supporting laws and regulations and so on. Therefore, to the trend of further study of China’s gold futures market, the paper test the efficiency of China’s gold futures market from the predictability of the price in China’s gold futures market and the come true of the price discovery function.This paper firstly introduces the effectiveness theory and the methods to test the market efficiency, including random walk test and cointegration test. Secondly introduces the transaction mechanism of gold futures in China and the development in China’s gold futures market. Thirdly, analysis of the factors affecting the price of gold futures in China, which include New York gold futures prices, the dollar, the international crude oil prices, the stock market, and the supply and demand of gold and so on. Fourthly the paper takes Shanghai gold spot market and Shanghai gold futures market as the objects of study, to explore whether the gold market in accord with the hypothesis of the efficient market. In research methods, the study respectively in terms of whether the price can be forecasted, and whether the price discovery function of futures market realize these two angles, adopt random walk test, cointegration test to verify the efficiency of the China’s gold futures market. The results show that, from the point of the price can or not be predicted, through the autocorrelation test and runs test, found that China’s gold futures market satisfies the RWIII stage of random walk, China’s gold futures market is weak form efficient market. From the point of the function price discovery, through cointegration test found that the China’s gold futures market and China’s gold spot market have long-term cointegration relationship, but there are still no effective factors; according to Grainger Granger causality test, impulse response, variance decomposition analysis, China’s gold futures market does not have the function of price discovery, and the spot price of gold a one-way leading gold futures prices. But when the lag order increases, the function that gold futures guide gold spot is slowly emerging, the china’s gold futures market’s price discovery function is slowly appear. Finally, use China’s gold futures prices, New York gold futures prices, the dollar index, crude oil and SP500index to do cointegration test, found the main factor to the China’s gold futures price is New York gold futures prices, and the dollar index, crude oil, beauty means and SP500index are affected in different degrees of gold futures market in china. Thus China’s gold futures market only reached the weak form efficiency, does not have the pricing power conclusion, then gives some counter measures and suggestions of gold futures market development in china.