Price discovery in the Chinese gold market

Jin, M; Li, Y; Wang, J; Yang, YC

Price discovery in the Chinese gold market

Jin, M Li, Y

Wang, J Yang, YC

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Publication Type:: Journal Article
Citation:: Journal of Futures Markets, 2018, 38 (10), pp. 1262 - 1281
Issue Date:: 2018-10-01

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Field	Value	Language
dc.contributor.author	Jin, M	en_US
dc.contributor.author	Li, Y https://orcid.org/0000-0002-2142-7607	en_US
dc.contributor.author	Wang, J	en_US
dc.contributor.author	Yang, YC	en_US
dc.date.issued	2018-10-01	en_US
dc.identifier.citation	Journal of Futures Markets, 2018, 38 (10), pp. 1262 - 1281	en_US
dc.identifier.issn	0270-7314	en_US
dc.identifier.uri	http://hdl.handle.net/10453/130388
dc.description.abstract	© 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.	en_US
dc.relation.ispartof	Journal of Futures Markets	en_US
dc.relation.isbasedon	10.1002/fut.21938	en_US
dc.subject.classification	Finance	en_US
dc.title	Price discovery in the Chinese gold market	en_US
dc.type	Journal Article
utslib.citation.volume	10	en_US
utslib.citation.volume	38	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.issue	10	en_US
pubs.publication-status	Published	en_US
pubs.volume	38	en_US

Abstract:

© 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:

http://hdl.handle.net/10453/130388