|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|94471||2018||9 صفحه PDF||سفارش دهید||5769 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Physica A: Statistical Mechanics and its Applications, Volume 490, 15 January 2018, Pages 203-211
The lead-lag relationships between spot and futures markets are of great interest for academics. Previous studies neglect the possibility of nonlinear behaviors which may be caused by asymmetry or persistence. To fill this gap, this paper uses the MF-DCCA method and the linear and nonlinear causality tests to explore the causal relationships between natural gas spot and futures prices in the New York Mercantile Exchange. We find that spot and futures prices are positive cross-correlated, the natural gas futures can linearly Granger cause spot price, and there are bidirectional nonlinear causality relationships between natural gas spot and futures prices. Further, we explore the sources of nonlinear causality relationships, and find that the volatility spillover can partly explain the nonlinear causality and affect their cross-correlations.