Empirical Study on the Relationship between Gold Spot Prices of Chinese Market and International Market

The test of Co-integration relationship between the gold prices of Shanghai Gold Exchange (SGE) and the London Bullion Market Association (LBMA) indicates that the two time series have long-term equilibrium relations. The Granger causality test also indicates that two price variables are mutual Granger causation. The error correction model demonstrates that short-term correlation of the gold prices and SGE LBMA is also remarkable. Empirical studies show that though SGE market established not long ago, its price movement has already synchronized with international gold market that enlightens that price movement of the international gold market has important reference and the guiding sense to Chinese gold investors.