Price discovery in the Chinese gold market

Publication Type:
Journal Article
Journal of Futures Markets, 2018, 38 (10), pp. 1262 - 1281
Issue Date:
Filename Description Size
Jin_et_al-2018-Journal_of_Futures_Markets.pdfPublished Version1.4 MB
Adobe PDF
Full metadata record
© 2018 Wiley Periodicals, Inc. 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.
Please use this identifier to cite or link to this item: