An Empirical Study Of Price Discovery Function Of Shanghai Gold Futures Market

The official reserve of gold in China ranked sixth in the world,and Chinese people have the tradition of collecting gold,while China remained the largest gold producer in the world.As a kind of important strategic reserve,gold also have the ability to reduce the financial risk.Therefore,it is of great significance to gain the right to price gold to the economic security of our country and the promotion of the status of our country.Having a mature and effective gold futures market is an important condition for a country to gain this right.So it is imminent to establish a mature and effective gold futures market in China,while the effectiveness of the gold futures market depends largely on the function of price discovery.The purpose of this paper is to find out whether Shanghai gold futures market had the function of price discovery.The first part of this paper expounds the background and how important the topic is,lists the domestic and foreign research literature which enlightened this study,shows the main research contents,research methods and innovation points.Part two is the theoretical research part of the price discovery function of the gold futures market.The third part is the enpirical study on the price linkage between Shanghai gold futures market and Shanghai physical gold market by establishing the VAR model,Impulse response analysis and variance decomposition,and test its Granger causality.The fourth part is an empirical study of the price linkage between the Shanghai gold futures market and the international gold markets namely New York gold futures markets and London physical gold market.The last part is the conclusion of this paper,and presents the policy suggestions.The conclusion of this paper is that Shanghai gold futures price now has a certain ability in guiding Shanghai spot gold price.According to the empirical study,the influence of Shanghai gold futures markert has improved obviously.Also,Shanghai gold futures market now has a certain influence on the international gold markets,but New York gold futures market still leads the price.Therefore,Shanghai gold futures market still enjoys a huge potentiafor development.