LEAD-LAG RELATIONSHIP BETWEEN COMMODITY SPOT AND FUTURES MARKETS IN PAKISTAN
This study was conducted to determine the lead-lag relationship between commodities spot and futures prices in Pakistan. Five commodities i.e. gold, silver, wheat, rice and sugar were selected keeping in mind the availability of the data. It was found that in few cases the spot prices lead futures prices while in other instances futures prices are lead by spot prices. The direction of relationship between commodity spot and futures prices was observed to change by changing futures contracts maturity period.
Key words: lead-lag relationship, futures market, stationarity