KRX (Korea Exchange) gold market opened in March 2014 according to the government policy legalizing financial transactions, and traded one-gram unit of the real gold by Korean currency (KRW) in the exchange market. Despite the fact that KRX gold market showed the high efficiency in terms of tax and fee in contrast to the existing gold market, the studies on KRX gold market were scarcely performed until quite recently. This study introduce KRX gold market and shows the price discovery function of KRX gold market. Empirical analyses and the results were as follows. First, the return rate of CME gold futures at the t-1 day had a positive impact of significance on market rate of return of KRX gold market at the t day. Second, the KRX gold market also has price discovery function in global gold market. We analyze the efficiency of the KRX gold market by comparing the dollar spot price of gold in the KRX gold market and the price of CME gold futures. These results support the proper efficiency of the KRX gold market in terms of price discovery.
Research Article|
August 31 2018
The Influence of CME Futures Market on KRX Gold Market Open Access
Publisher: Emerald Publishing on behalf of Korea Derivatives Association
Online ISSN: 2713-6647
Print ISSN: 1229-988X
© 2018 Emerald Publishing Limited
2018
This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2018) 26 (3): 345–369.
Citation
Yeom M, Kim J (2018), "The Influence of CME Futures Market on KRX Gold Market". Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu, Vol. 26 No. 3 pp. 345–369, doi: https://doi.org/10.1108/JDQS-03-2018-B0003
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