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This paper investigated the lead-lag relationship among major commodity futures markets. For this purpose we introduced Granger causality test and variance decomposition analysis based on vector error correction model. We employ four nearby commodity futures prices such as cocoa, coffee, sugar and...

This paper investigated the lead-lag relationship among major commodity futures markets. For this purpose we introduced Granger causality test and variance decomposition analysis based on vector error correction model. We employ four nearby commodity futures prices such as cocoa, coffee, sugar and orange futures’ daily data covering from May 26, 1998 to March 2, 2011. The major empirical results are as follows; First, we find that there is a long-run relationship among the level variables of four commodity futures markets. Second, according to the Granger causality and variance decomposition analysis the interdependence among commodity futures markets is more strong after financial crises than before financial crises. Third, we also find that among the four commodity futures markets, the price discovery function of sugar futures market is more dominant than those of the other three commodity futures markets. We hope these empirical results will be helpful for the investors to set up investment and risk management strategies in commodity futures markets.

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