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Further evidence on the relationship between spot and futures prices

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  • Fernandez, Viviana

Abstract

Based on a theoretical model, Tiltonet al. (2011) concluded that spot and futures prices should be highly correlated during periods of strong contango and much less correlated during periods of weak contango and backwardation. More recently, Gulley and Tilton (2014) found empirical support of this hypothesis for copper data during the period of 1994–2011.

Suggested Citation

  • Fernandez, Viviana, 2016. "Further evidence on the relationship between spot and futures prices," Resources Policy, Elsevier, vol. 49(C), pages 368-371.
    • Handle: RePEc:eee:jrpoli:v:49:y:2016:i:c:p:368-371
    DOI: 10.1016/j.resourpol.2016.07.005
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    References listed on IDEAS

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    1. Richard Heaney, 2002. "Approximation for convenience yield in commodity futures pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(10), pages 1005-1017, October.
    2. Lester G. Telser, 1958. "Futures Trading and the Storage of Cotton and Wheat," Journal of Political Economy, University of Chicago Press, vol. 66, pages 233-233.
    3. Viviana Fernandez, 2016. "Spot and Futures Markets Linkages: Does Contango Differ from Backwardation?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(4), pages 375-396, April.
    4. Tilton, John E. & Humphreys, David & Radetzki, Marian, 2011. "Investor demand and spot commodity prices," Resources Policy, Elsevier, vol. 36(3), pages 187-195, September.
    5. Gulley, Andrew & Tilton, John E., 2014. "The relationship between spot and futures prices: An empirical analysis," Resources Policy, Elsevier, vol. 41(C), pages 109-112.
    6. Fama, Eugene F & French, Kenneth R, 1988. " Business Cycles and the Behavior of Metals Prices," Journal of Finance, American Finance Association, vol. 43(5), pages 1075-1093, December.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Junior, Peterson Owusu & Tiwari, Aviral Kumar & Padhan, Hemachandra & Alagidede, Imhotep, 2020. "Analysis of EEMD-based quantile-in-quantile approach on spot- futures prices of energy and precious metals in India," Resources Policy, Elsevier, vol. 68(C).
    2. Jena, Sangram Keshari & Tiwari, Aviral Kumar & Hammoudeh, Shawkat & Roubaud, David, 2019. "Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests," Energy Economics, Elsevier, vol. 78(C), pages 615-628.
    3. Arunava Bandyopadhyay & Prabina Rajib, 2023. "The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 858-879, July.
    4. You-How Go & Wee-Yeap Lau, 2019. "Palm oil spot-futures relation: Evidence from unrefined and refined products," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(3), pages 133-142.
    5. Rubaszek, Michał & Uddin, Gazi Salah, 2020. "The role of underground storage in the dynamics of the US natural gas market: A threshold model analysis," Energy Economics, Elsevier, vol. 87(C).
    6. Hsu, Chih-Hsiang, 2021. "The predictability of the return correlation of futures with different expirations in the Chinese futures market," Resources Policy, Elsevier, vol. 74(C).
    7. Xie, Xiaoyu & Zhu, Heliang, 2021. "The role of gold futures in mitigating the impact of economic uncertainty on spot prices: Evidence from China," Research in International Business and Finance, Elsevier, vol. 56(C).
    8. Marek Kwas & Michał Rubaszek, 2021. "Forecasting Commodity Prices: Looking for a Benchmark," Forecasting, MDPI, vol. 3(2), pages 1-13, June.

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    More about this item

    Keywords

    Theory of storage; Interest-adjusted basis;

    JEL classification:

    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • L72 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Other Nonrenewable Resources
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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