Empirical Research on Price Discovery of the China’s Gold Futures Market Based on High-Frequency Data



This paper uses high-frequency data of China’s gold futures market and gold spot market to make empirical research on price discovery between them. We adopt Johansen co-integration regression test, vector error correct model and Granger causality test and other econometric methods .The result shows that there is co-integration relationship between China’s gold futures market and gold spot market, and they guide each other. This illustrates that the China’s gold futures market exists price discovery, which indicate China’s gold futures market has became more mature.
Key words: High-frequency data; Futures market; Spot market; Price discovery


High-frequency data; Futures market; Spot market; Price discovery

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DOI: http://dx.doi.org/10.3968/%25x


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