A Lead-Lag Relationship and Forecast Research between China’s Crude Oil Futures and Spot Markets
The integration of the global economy has led to an increasingly strong connection between the futures and spot markets of commodities. First, based on one-minute high-frequency prices, this paper applies the thermal optimal path (TOP) method to examine the lead-lag relationship between Chinese crud...
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2022/6162671 |
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| _version_ | 1832562553651200000 |
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| author | Chi Zhang Dandan Pan Mingyan Yang Zhengning Pu |
| author_facet | Chi Zhang Dandan Pan Mingyan Yang Zhengning Pu |
| author_sort | Chi Zhang |
| collection | DOAJ |
| description | The integration of the global economy has led to an increasingly strong connection between the futures and spot markets of commodities. First, based on one-minute high-frequency prices, this paper applies the thermal optimal path (TOP) method to examine the lead-lag relationship between Chinese crude oil futures and spot from March 2018 to December 2021. Second, we apply the Mixed Frequency Data Sampling Regression (MIDAS) model and indicators such as deviation degree to test the degree of prediction of high-frequency prices in the futures market to the spot market. The experimental results show that the futures markets lead the spot market most of the time, but the lead effect reverses when major events occur; 60-minute futures high-frequency prices are the most predictive of daily spot data; crude oil futures’ predictive power declined after the Covid-19 outbreak and is more predictive when night trading is available. This study has important implications, not only to guide investors but also to provide empirical evidence and valid information for policy makers. |
| format | Article |
| id | doaj-art-ae5f34dd164544029e0072e7af67dd60 |
| institution | Kabale University |
| issn | 1099-0526 |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-ae5f34dd164544029e0072e7af67dd602025-02-03T01:22:25ZengWileyComplexity1099-05262022-01-01202210.1155/2022/6162671A Lead-Lag Relationship and Forecast Research between China’s Crude Oil Futures and Spot MarketsChi Zhang0Dandan Pan1Mingyan Yang2Zhengning Pu3School of EconomicsSchool of BusinessSchool of Economics & ManagementSchool of Economics & ManagementThe integration of the global economy has led to an increasingly strong connection between the futures and spot markets of commodities. First, based on one-minute high-frequency prices, this paper applies the thermal optimal path (TOP) method to examine the lead-lag relationship between Chinese crude oil futures and spot from March 2018 to December 2021. Second, we apply the Mixed Frequency Data Sampling Regression (MIDAS) model and indicators such as deviation degree to test the degree of prediction of high-frequency prices in the futures market to the spot market. The experimental results show that the futures markets lead the spot market most of the time, but the lead effect reverses when major events occur; 60-minute futures high-frequency prices are the most predictive of daily spot data; crude oil futures’ predictive power declined after the Covid-19 outbreak and is more predictive when night trading is available. This study has important implications, not only to guide investors but also to provide empirical evidence and valid information for policy makers.http://dx.doi.org/10.1155/2022/6162671 |
| spellingShingle | Chi Zhang Dandan Pan Mingyan Yang Zhengning Pu A Lead-Lag Relationship and Forecast Research between China’s Crude Oil Futures and Spot Markets Complexity |
| title | A Lead-Lag Relationship and Forecast Research between China’s Crude Oil Futures and Spot Markets |
| title_full | A Lead-Lag Relationship and Forecast Research between China’s Crude Oil Futures and Spot Markets |
| title_fullStr | A Lead-Lag Relationship and Forecast Research between China’s Crude Oil Futures and Spot Markets |
| title_full_unstemmed | A Lead-Lag Relationship and Forecast Research between China’s Crude Oil Futures and Spot Markets |
| title_short | A Lead-Lag Relationship and Forecast Research between China’s Crude Oil Futures and Spot Markets |
| title_sort | lead lag relationship and forecast research between china s crude oil futures and spot markets |
| url | http://dx.doi.org/10.1155/2022/6162671 |
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