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Linghubo Yang, Dongxiang Zhang: Can futures price be a powerful predictor? Frequency domain analysis on Chinese commodity market

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ABSTRACT: 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.

JEL Classification: C13, C32, G14

Keywords: Futures price; Spot price; Chinese commodity market; Frequency domain approach; Garbade–Silber Model

Economic Modelling  Volume 35, September 2013, Pages 264–271
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