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Price discovery in the Chinese gold market

Muzhao Jin, Youwei Li, Jianxin Wang and Yung Chiang Yang

Journal of Futures Markets, 2018, vol. 38, issue 10, 1262-1281

Abstract: This study conducts price discovery analysis in the Chinese gold market. Our results indicate that Chinese gold market price discovery occurs predominantly in the futures market. The result is robust to numerous different measures of price discovery, namely, information share, component share, and information leadership share. Partitioning the daily trades into three trading sessions, we find that the dominance of the futures market occurs consistently in all trading sessions. Furthermore, we investigate sequential price discovery within the spot and futures markets; finding that price discovery of both markets occurs more in the night trading session.

Date: 2018
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https://doi.org/10.1002/fut.21938

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Working Paper: Price Discovery in the Chinese Gold Market (2016) Downloads
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