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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.

Journal Article Type Article
Publication Date 2018-10
Journal Journal of Futures Markets
Print ISSN 0270-7314
Electronic ISSN 1096-9934
Publisher Wiley
Peer Reviewed Peer Reviewed
Volume 38
Issue 10
Pages 1262-1281
APA6 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
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
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

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