The predictability of iron ore futures prices: A product‐material lead–lag effect
研究发现产品期货（如钢铁）的收益率能显著预测原材料期货（如铁矿石）的收益率，这种领先滞后效应主要由坏消息驱动，且为短期现象，可为原材料期货投资带来经济收益。
Abstract This study investigates the lead–lag effects between product futures and raw material futures. Results show that returns on product futures lead returns on raw material futures: lagged product futures returns can significantly predict raw material futures returns in‐ and out‐of‐sample. This product‐material lead–lag effect is mainly driven by bad news and is a short‐term phenomenon. Moreover, returns on product futures, especially those based on bad news, can provide substantial economic gains to investments in raw material futures. The lead–lag effect is associated with frictions in the information diffusion from product futures markets to raw material futures markets and the slower response of raw material futures markets to common market information.