Price Discovery in the Chinese Gold Market

Journal of Futures Markets, Forthcoming

42 Pages Posted: 6 May 2016 Last revised: 15 Dec 2019

See all articles by Muzhao Jin

Muzhao Jin

Queen's University Management School

Youwei Li

Hull University Business School

Jian-Xin Wang

University of Technology Sydney; Financial Research Network (FIRN)

Yung Chiang Yang

University College Dublin (UCD) College of Business

Date Written: May 6, 2016

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.

Keywords: Chinese gold market, Futures, Price discovery, Information share, Component share, Information leadership share, Sequential price discovery

JEL Classification: G10, G14

Suggested Citation

Jin, Muzhao and Li, Youwei and Wang, Jian-Xin and Yang, Yung Chiang, Price Discovery in the Chinese Gold Market (May 6, 2016). Journal of Futures Markets, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2776581 or http://dx.doi.org/10.2139/ssrn.2776581

Muzhao Jin

Queen's University Management School ( email )

Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom

Youwei Li (Contact Author)

Hull University Business School ( email )

University of Hull
Hull, HU6 7RX
United Kingdom

Jian-Xin Wang

University of Technology Sydney ( email )

UTS Business School
Finance Decipline
Sydney, NSW
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Yung Chiang Yang

University College Dublin (UCD) College of Business ( email )

Belfield
Dublin, 4
Ireland

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
152
Abstract Views
710
rank
201,033
PlumX Metrics