| (2.1) |
| (2.2) |
Date | Contract 1 | Contract 2 | Contract 3 | Contract 4 |
12/11/2006 | 61.22 | 62.36 | 63.29 | 64.00 |
12/12/2006 | 61.02 | 61.99 | 62.92 | 63.63 |
12/13/2006 | 61.37 | 62.17 | 63.05 | 63.72 |
12/14/2006 | 62.51 | 63.33 | 64.22 | 64.87 |
12/15/2006 | 63.43 | 64.09 | 64.89 | 65.49 |
| (6.1) |
| (6.2) |
| (6.3) |
| (6.4) |
| (6.5) |
Variable | Mean | Std. Dev. |
interest | 4.959 | 2.175 |
spotp | 25.919 | 13.491 |
futurep | 25.705 | 13.883 |
N | 252 |
Random Walk | Hotelling | Future Price | Future & Spot Prices | |
Y=Spot Price_{t} | Y=Log(spot price_{t}) | Y=Spot Price_{t} | Y=Spot Price_{t} | |
Spot Price_{t-3} | 0.987^*** | -0.151 | ||
(0.0204) | (0.274) | |||
[1em] Log(Spot price_{t-3}) | 0.928^*** | |||
(0.0259) | ||||
[1em] Log(interest_{t-3}+1) | -1.245^* | |||
(0.501) | ||||
[1em] Future Price_{t-3} | 0.967^*** | 1.115^*** | ||
(0.0193) | (0.267) | |||
[1em] Constant | 0.851 | 0.301^** | 1.593^** | 1.729^** |
(0.584) | (0.0938) | (0.550) | (0.603) | |
N | 249 | 249 | 249 | 249 |
R^{2} | 0.905 | 0.867 | 0.911 | 0.911 |
adj. R^{2} | 0.904 | 0.866 | 0.911 | 0.910 |
RMSE | 4.184 | 0.152^a | 4.046 | 4.052 |
Standard errors in parentheses | ||||
^a Based on logarithm values | ||||
^* p < .05, ^** p < .01, ^*** p < .001 |
Variable | Mean | Std. Dev. |
interest | 4.959 | 2.175 |
spotp | 25.931 | 13.737 |
futurep | 25.752 | 14.115 |
N | 252 |
Random Walk | Hotelling | Future Price | Future & Spot Price | |
Y=Spot Price_{t} | Y=Log(spot price_{t}) | Y=Spot Price_{t} | Y=Spot Price_{t} | |
Spot Price_{t-3} | 0.982^*** | -0.351 | ||
(0.0212) | (0.310) | |||
[1em] Log(Spot price_{t-3}) | 0.919^*** | |||
(0.0264) | ||||
[1em] Log(interest_{t-3}+1) | -1.280^* | |||
(0.516) | ||||
[1em] Future Price_{t-3} | 0.964^*** | 1.306^*** | ||
(0.0200) | (0.304) | |||
[1em] Constant | 1.027 | 0.334^*** | 1.698^** | 1.988^** |
(0.608) | (0.096) | (0.574) | (0.629) | |
N | 249 | 249 | 249 | 249 |
R^{2} | 0.897 | 0.861 | 0.904 | 0.904 |
adj. R^{2} | 0.897 | 0.860 | 0.903 | 0.904 |
RMSE | 4.419 | 0.156^a | 4.273 | 4.270 |
Standard errors in parentheses | ||||
^a Based on logarithm values | ||||
^* p < .05, ^** p < .01, ^*** p < .001 |
| (7.1) |
| (7.2) |
Fundamental | Scoring Weight (Percent) |
Supply-and-Demand Balance | 40 |
Geopolitical Factors | 40 |
Inflation Factors | 5 |
Market Expectation | 15 |