Ameur Hachmi Ben, Ftiti Zied, Louhichi Waël
INSEEC Grande Ecole, INSEEC U, Paris, France.
EDC Paris Business School, Paris, France.
Ann Oper Res. 2022;313(1):171-189. doi: 10.1007/s10479-021-04172-3. Epub 2021 Jul 27.
This study aims to investigate the relationship between the spot and futures commodity markets. Considering the complexity of the relationship, we use a nonlinear autoregressive distributed lag (NARDL) framework that considers the asymmetry and nonlinearity in both the long and short run. Based on the daily returns of six commodity indices reaggregated on three commodity types, our study reaches some interesting findings. Our analysis highlights a bidirectional relationship between both markets over the short and long run, with a greater lead for the futures market. This result confirms the future market's dominant contribution to price discovery in commodities. Changes in commodity prices appear first in the futures market, as informed investors and speculators prefer trading on this market that is characterized by low costs and a high-leverage effect. Then, the information is transmitted from the futures to the spot market through arbitrageurs' activity, which explains the nonlinearity of the relationship. These results are helpful to scholars, investors and policymakers.
本研究旨在探讨现货与期货商品市场之间的关系。考虑到这种关系的复杂性，我们使用了一个非线性自回归分布滞后（NARDL）框架，该框架考虑了长期和短期的不对称性和非线性。基于按三种商品类型重新汇总的六个商品指数的日回报率，我们的研究得出了一些有趣的发现。我们的分析突出了两个市场在短期和长期内的双向关系，期货市场的领先作用更大。这一结果证实了期货市场对商品价格发现的主要贡献。商品价格的变化首先出现在期货市场，因为消息灵通的投资者和投机者更喜欢在这个具有低成本和高杠杆效应特点的市场上交易。然后，信息通过套利者的活动从期货市场传递到现货市场，这解释了这种关系的非线性。这些结果对学者、投资者和政策制定者都有帮助。
