Price discovery in the Chinese gold market

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

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