Abstract: Commodity′s futures price is usually considered to be capable of discovering its “future” spot price; however, the futures price more closely relates to the concurrent spot price in practice. This paper takes the typical commodities traded on three futures exchanges in China as samples and constructs a series of econometric models to study the relationships between commodity′s futures price and its concurrent (short-term) spot price as well as future (long-term) spot price. The results show that for mature futures products, their futures and spot prices basically keep co-movements on top of which they also show short-term leading-lagging relationships, and which price takes the leading position depends on whether the price can reflect a more fair market value of the commodity; the co-movements between commodity′s futures and spot prices make its futures price generally unable to predict its medium-term and long-term (beyond one month) spot prices,otherwise, the hedging function of the futures market cannot take effect; however, the futures prices of some commodities epitomized by coal series are able to predict their future spot prices and this ability is mainly caused by the fact that the lack of effective arbitrage makes futures contracts behave like forward contracts.

Key words: commodity futures, futures price, future spot price, warehouse receipt