Research On The Price Linkage Between The Chinese, British And American Gold Markets

In the international context,the so-called four financial markets include capital and foreign exchange in addition to currency and gold.Among them,the status of world economic development mainly depends on gold and currency.Therefore,gold as a vital capital reserve in the international world,whether the storage is abundant or not has a profound impact on the normal operation of a country's core industries.At the beginning of 2008,China's gold futures were listed in Shanghai Futures Exchange.At present,it is the world's largest gold producer and consumer.China's futures industry led by gold futures is facing more and more severe challenges,especially with the domestic economy gradually facing the world,the challenges facing China's futures industry are more and more difficult to solve.At present,China's gold market is closely related to the world,more and more deeply affected by the market.Now China's gold has already been in the forefront of the world economy,and is an integral part of the gold market.Therefore,this paper selects gold futures as the research object to explore the price linkage of domestic and foreign gold futures market,and selects high-frequency data to ensure more real information in data selection,so it is shorter in time.From August 1,2019 to December 13,2019,the high-frequency closing price of every five minutes is selected,among which Comex New York gold market and London gold market are selected to represent the international gold futures spot,and the previous gold market and Shanghai au99.95 gold are selected to represent the domestic gold futures spot.The main results are as follows: there are three long-term equilibrium relations in cointegration test.Granger causality test shows that the previous period gold is the Granger cause of cash,New York gold is the Granger cause of London gold,and New York gold and the previous period gold are the Granger cause of each other.To some extent,China's gold futures market has played a price discovery function.The impulse response analysis shows that: the impact of the previous period gold price has a long-term positive guiding relationship with the New York gold price;the price change and impact of London gold also have a long-term positive impact on the change of New York gold price;the futures price change is relatively large due to its own influence;other guiding relationships are relatively weak.In variance decomposition,Comex gold and London gold have little effect on Chinese gold futures.London gold is greatly affected by the previous period.The influence of gold futures in China is increasing.The GARCH family model has the characteristics of volatility aggregation,and the international volatility aggregation is greater.There are obvious GARCH-M effect and asymmetric effect.