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Price Discovery in the Chinese Gold Market

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

MPRA Paper from University Library of Munich, Germany

Abstract: This study conducts price discovery analysis in the Chinese gold market. Our result indicates that the price discovery in Chinese gold market occurs predominantly in the futures market. The result is robust to the 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 in all trading sessions. We further investigate the sequential price discovery within the spot market or futures market. We find that the price discovery of gold spot market and gold futures market occur in the night trading session.

Keywords: Chinese gold market; Futures; Price discovery; Information share; Component share; Information leadership share; Sequential price discovery (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2016-05-06
New Economics Papers: this item is included in nep-cna, nep-mst and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Journal Article: Price discovery in the Chinese gold market (2018) Downloads
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