Association Study of the Fluctuations in Gold Futures and Actuals Markets

DOI

10.2991/ssmi-18.2019.59How to use a DOI?

Keywords

Gold Futures, Johansen Co-integration, Granger Causality.

Abstract

Based on daily price data of China’s gold futures and actuals from January 4th, 2016 to January 10th, 2018, this study makes an empirical analysis of the relationship between fluctuations of gold futures and actuals after conducting the ADF unit root test, the Johansen co-integration test, the Error Correction Model (ECM) test and the Granger causality test. Research findings show that there exists a long-term equilibrium between gold futures and actuals. Such an equilibrium relationship involves one-way price transmission mechanism, which means that the gold spot price takes a dominant position in affecting and explaining the price of gold futures.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Bowen Li
PY  - 2019/02
DA  - 2019/02
TI  - Association Study of the Fluctuations in Gold Futures and Actuals Markets
BT  - Proceedings of the 2018 International Symposium on Social Science and Management Innovation (SSMI 2018)
PB  - Atlantis Press
SP  - 335
EP  - 343
SN  - 2352-5428
UR  - https://doi.org/10.2991/ssmi-18.2019.59
DO  - 10.2991/ssmi-18.2019.59
ID  - Li2019/02
ER  -