The relationship between spot and futures prices: Evidence from the crude oil market
用WTI原油日度数据检验现货与期货价格的关系，线性因果检验显示期货引导现货，非线性检验则发现双向影响，表明两个市场同时对新信息做出反应。
This article examines the relationship between the spot and futures prices of WTI crude oil using a sample of daily data. Linear causality testing reveals that futures prices lead spot prices, but nonlinear causality testing reveals a bidirectional effect. This result suggests that both spot and futures markets react simultaneously to new information. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 175–193, 1999