Price discovery in gold markets: China and the US
(English)Manuscript (preprint) (Other academic)
This paper investigates price discovery in the gold futures markets in China and the US. The US started to offer gold futures trading on the Commodity Exchange in 1974, and currently facilitates the largest trading volume in gold futures contracts in the world. However, China has become an important economy in gold trading over the last few decades. The gold supply and demand from China have been among the world’s largest in recent years. The results of this paper show that the gold futures markets in China and the US are cointegrated. Unlike previous works showing that the US market leads other countries in price discovery (Fung, Leung and Xu 2003, Lucey, Larkin and O’Connor 2014), this paper documents that the Chinese gold futures market leads that of the US. Despite its short history, the Chinese gold futures market contributes more to the price discovery than the US market. In addition, the Chinese gold spot market is led by the Chinese futures market during the daytime trading session and by the US gold futures market during the nighttime trading session.
Research subject Business Administration
IdentifiersURN: urn:nbn:se:su:diva-119571OAI: oai:DiVA.org:su-119571DiVA: diva2:846676