Price Discovery in the Chinese Gold Market

Jin, Muzhao and Li, Youwei and Wang, Jianxin and Yang, Yung Chiang (2016): Price Discovery in the Chinese Gold Market.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Chinese gold market; Futures; Price discovery; Information share; Component share; Information leadership share; Sequential price discovery
• Subjects: G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading

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