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Price discovery in the Chinese gold market

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

Authors

Muzhao Jin

Jianxin Wang

Yung Chiang Yang



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.

Citation

Jin, M., Li, Y., Wang, J., & Yang, Y. C. (2018). Price discovery in the Chinese gold market. Journal of Futures Markets, 38(10), 1262-1281. https://doi.org/10.1002/fut.21938

Journal Article Type Article
Acceptance Date May 14, 2018
Online Publication Date Jun 21, 2018
Publication Date 2018-10
Deposit Date Mar 19, 2019
Publicly Available Date Jun 22, 2020
Journal Journal of Futures Markets
Print ISSN 0270-7314
Publisher Wiley
Peer Reviewed Peer Reviewed
Volume 38
Issue 10
Pages 1262-1281
DOI https://doi.org/10.1002/fut.21938
Keywords Chinese gold market; Component share; Futures; Information share; Information leadership share; Price discovery; Sequential price discovery
Public URL https://hull-repository.worktribe.com/output/1113497
Publisher URL https://onlinelibrary.wiley.com/doi/full/10.1002/fut.21938
Related Public URLs https://pure.qub.ac.uk/portal/en/publications/price-discovery-in-the-chinese-gold-market(5e234018-c812-4076-bfff-512048057987).html
Contract Date Mar 19, 2019

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