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杨令狐波,张东祥:Can futures price be a powerful predictor? Frequency domain analysis on Chinese commodity m
时间:2013-11-22    点击数:

This paper presents the causal relationships between futures and spot prices of six metal and agriculture commodities in Chinese commodity market, using GC test, frequency domain approach proposed by Brietung and Candelon (2006) and Garbade–Silber (G–S) Model. Frequency domain approach indicates that futures price of each commodity is really a powerful predictor for spot price in both long and short terms, but not vice versa. From the results of G–S model, futures price of each commodity decides more than 70% of the price movements, which plays a dominant role in price discovering process. There are bi-directional casual relationships between futures and spot prices of all the six commodities excluding aluminum (Al) from the conclusions of time domain GC test.
原文发表于SSCI期刊Economic Modelling, Volume 35, 2013, Pages 264-271 ,张东祥为本文通讯作者。