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Price discovery in the Chinese gold market

Author

Listed:
  • Muzhao Jin
  • Youwei Li
  • 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.

Suggested Citation

  • Muzhao Jin & Youwei Li & Jianxin Wang & Yung Chiang Yang, 2018. "Price discovery in the Chinese gold market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1262-1281, October.
    • Handle: RePEc:wly:jfutmk:v:38:y:2018:i:10:p:1262-1281
    DOI: 10.1002/fut.21938
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    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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