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Research on the Influencing Factors of China’s Gold Future Market Price

Author: ZhangXiaoDong
Tutor: HuangRuiFen
School: Ocean University of China
Course: Financial
Keywords: Gold future’s price Influencing factors Stepwise regression FactorAnalysis
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Type: Master's thesis
Year: 2013
Downloads: 4
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Abstract


In the contemporary world, the gold futures launch not only to promote the prosperity and development of the commodity futures market, but also enable company to use the function of the futures market to hedge the risk-averse. At the same time, the price impact factors also become important symbol of the measure of a future market for long-term sustainable development. In January9th,2008gold future launched on the Shanghai Futures market, which is China’s first financial attributes futures and caused widespread concern in the market. The influencing factors of China’s gold futures market price, is a better understanding of gold futures from the price point of view, and to promote the improvement of China’s gold futures market to better play the gold futures risk aversion has important reference value.This paper summarizes the research on the basis of the system and a detailed description and analysis of the influencing factors of the gold futures price further cut to the chase, as a basis to conduct a study on the impact of China’s gold futures market price factors and corresponding analysis of influencing factors of Chinese gold futures prices. First, we start from the gold futures pricing theory, analysis of the factors affecting the gold futures price formation, use cointegration test, Granger causality test and VAR model to China gold spot price, gold futures prices in New York, China’s inflation rate, the RMB exchange rate and the Shanghai Composite Index data then draw relevant conclusions. Secondly, this article select the eight major factors affecting China’s gold futures prices stepwise regression analysis as independent variables, such as Chinese spot price of gold, the price of gold futures in New York, the RMB exchange rate, oil index, the Shanghai Composite Index, China’s gold futures trading volume, the S&P500index and the dollar index. The results showed that the most important factors of the Chinese gold futures prices is the spot price of gold. Finally, factor analysis of various factors in the share of the gold futures price formation weights. The results show that the two main factors explain the gold futures price of70.013%of the variation. Therefore, when we are to predict the China gold future prices, we should pay more attention to the trend of international market price of gold and energy markets.

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