Price discovery in the Chinese gold market

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.

The determinants of price discovery on bitcoin markets

“…Table 5 documents the CS and IS for the different sampling intervals. In line with Jin et al (2018), price discovery shares get closer to 0.5 when lower‐frequency intervals are used, on average. Stated differently, the differences in price discovery shares between the spot and futures market are less when increasing time‐intervals (see Tse, Xiang, & Fung, 2006, for similar results).…”

“…Brandvold et al (2015) and Jin, Li, Wang, and Yang (2018) point out that it is important to keep time intervals short enough to ensure information is not lost between sampling intervals, but also long enough to avoid noise due to stale prices. Following Jin et al (2018), we consider various sampling frequencies. In particular, we compute the nonsynchronous quoting probability, as well as the frequency of zero‐returns as zero‐returns are an important indicator of liquidity differences between spot and futures markets (see Theissen, 2012).…”

“…9 The choice of sampling interval is an important issue when studying price discovery. Brandvold et al (2015) and Jin, Li, Wang, and Yang (2018) point out that it is important to keep time intervals short enough to ensure information is not lost between sampling intervals, but also long enough to avoid noise due to stale prices. Following Jin et al (2018), we consider various sampling frequencies.…”

“…In particular, we compute the nonsynchronous quoting probability, as well as the frequency of zero-returns as zeroreturns are an important indicator of liquidity differences between spot and futures markets (see Theissen, 2012). It should be noted, however, that different trading activity and different liquidity does not necessarily have to be an indication of the leading market (see, e.g., Jin et al, 2018;Theissen, 2012). Table 2 reports the trading frequency and the proportion of zero-returns.…”

The connectedness and risk spillovers between bitcoin spot and futures markets: evidence from intraday data

“…In the study on the relationship between spot and futures prices in commodity markets (corn, wheat, soybeans, soybean meal and oil, feeder, and live cattle) Dimpfl et al ( 2017 ) find evidence that the prices of these commodities are almost uniquely formed in the spot market and the contribution of the futures contracts to price discovery is less than 10%. Jin et al ( 2018 ) examine the price discovery of Chinese gold spot and futures markets and concluded that the Chinese gold market's price discovery occurs predominantly in the futures market. Miao et al ( 2017 ) investigate the price discovery process between the CSI 300 equity index and index futures in China.…”