Price Discovery in the Chinese Gold Market

报告人：Youwei Li，Queen's University Belfast - School of Management

Abstract

This study conducts price discovery analysis in the Chinese gold market. Using three measures of price discovery, our results indicate that the price discovery in Chinese gold market occurs predominantly in the futures market. Partitioning the daily trades into three trading sessions, we find that the dominance of futures market occurs in all trading sessions. We further investigate the sequential price discovery within the spot market and futures market, respectively. We find that the price discovery of both gold spot market and gold futures market occur in the night trading session.

报告地点：中央财经大学学术会堂北楼602

报告时间：2015年11月26日(周四)上午10：00—11：30

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