Purpose

This study aims to validate the “expectancy theory” of asset pricing and explores the price discovery process in metals futures markets.

Design/methodology/approach

This paper adopts the Johansen cointegration and vector error correction model approach to investigate the potentials of Pairs trading in the metals market during the period 2008–2019.

Findings

The results find the price movements in metal markets are not random walk and the current “futures” prices are the reasonable estimate of the “spot” metal prices in future. This study does not notice any significant differences in the price efficiency across metals markets, which signal the effects of limited idiosyncratic forces in price transmission.

Practical implications

The research suggests the covert use of metal futures to make gains from arbitrage trading.

Originality/value

The study emphasizes the potential of “pair trading” in commodity market context that is seldom discussed in academic papers.

中文翻译：

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价格发现和配对交易潜力：以金属市场为例

目的

本研究旨在验证资产定价的“预期理论”，并探讨金属期货市场的价格发现过程。

设计/方法/方法

本文采用 Johansen 协整和向量误差校正模型方法来研究 2008-2019 年期间金属市场上 Pairs 交易的潜力。

发现

结果发现金属市场的价格走势并非随机游走，当前的“期货”价格是对未来“现货”金属价格的合理估计。本研究没有注意到金属市场的价格效率有任何显着差异，这表明价格传导中有限的特殊力量的影响。

实际影响

研究表明，隐蔽使用金属期货从套利交易中获利。

原创性/价值

该研究强调了学术论文中很少讨论的商品市场背景下“配对交易”的潜力。