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01445nam a2200253Ia 4500 |
| 001 |
10.1002-fut.21938 |
| 008 |
220706s2018 CNT 000 0 und d |
| 020 |
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|a 02707314 (ISSN)
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| 245 |
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|a Price discovery in the Chinese gold market
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| 260 |
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|b Wiley-Liss Inc.
|c 2018
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| 856 |
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|z View Fulltext in Publisher
|u https://doi.org/10.1002/fut.21938
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|a 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. © 2018 Wiley Periodicals, Inc.
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|a Chinese gold market
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|a component share
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|a futures
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|a information leadership share
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|a information share
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|a price discovery
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|a sequential price discovery
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| 700 |
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|a Jin, M.
|e author
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|a Li, Y.
|e author
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|a Wang, J.
|e author
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|a Yang, Y.C.
|e author
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| 773 |
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|t Journal of Futures Markets
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