Market Openness and Market Quality in Gold Markets

Journal of Futures Markets, Forthcoming

41 Pages Posted: 11 Oct 2018

See all articles by Caihong Xu

Caihong Xu

Stockholm University - Stockholm Business School

Dong Zhang

Stockholm University - Stockholm Business School

Date Written: September 3, 2018

Abstract

This paper studies the impact of market openness on market quality in gold markets, by investigating the openness event that occurred when the Shanghai Gold Exchange (SGE) launched an international board (SGEI) for foreign investors in China. Investors prefer to trade on the SGE than the SGEI, probably due to the SGE’s higher liquidity. In addition, using the New York Mercantile Exchange (COMEX) gold futures as the benchmark, we show the SGE experiences a significant increase in liquidity without a concomitant increase in volatility. Moreover, the SGE’s contribution to international gold price discovery increases after the openness event.

Keywords: Market openness, Foreign investors, Market quality, Gold markets, Price discovery

JEL Classification: G14, G18

Suggested Citation

Xu, Caihong and Zhang, Dong, Market Openness and Market Quality in Gold Markets (September 3, 2018). Journal of Futures Markets, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3250739

Caihong Xu (Contact Author)

Stockholm University - Stockholm Business School ( email )

Roslagsvägen 1010
Stockholm, SE-106 91
Sweden

Dong Zhang

Stockholm University - Stockholm Business School ( email )

Sweden

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
67
Abstract Views
494
Rank
608,356
PlumX Metrics