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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. 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.
    2. Tilton, John E. & Humphreys, David & Radetzki, Marian, 2011. "Investor demand and spot commodity prices," Resources Policy, Elsevier, vol. 36(3), pages 187-195, September.
    3. 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.
    4. 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.
    5. repec:bla:jfinan:v:43:y:1988:i:5:p:1075-93 is not listed on IDEAS
    6. Lester G. Telser, 1958. "Futures Trading and the Storage of Cotton and Wheat," Journal of Political Economy, University of Chicago Press, vol. 66(3), pages 233-233.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

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    2. 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.
    3. 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).
    4. 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).
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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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