The Distributional Behavior of Futures Price Spread Changes: Parametric and Nonparametric Tests for Gold, T-Bonds, Corn and Live Cattle

Min-Kyoung Kim, Raymond M. Leuthold and .
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Min-Kyoung Kim: University of Illinois, Urbana-Champaign
Raymond M. Leuthold: University of Illinois, Urbana-Champaign

Finance from EconWPA

Abstract: The distributional behavior for futures price spread changes is examined through parametric and nonparametric tests on four different commodities: corn and live cattle, and gold and T-bonds with two different sample sizes. Data are examined for selected periods, stable (1992) and unstable (1988). Remarkably different results were found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and of corn produced more normal distributions as intervals were widened from daily to weekly, while all live cattle spreads for actual changes were normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for both corn and live cattle did not converge to a normal distribution. The 'best fit' distribution was tested nonparametrically on all daily spread samples, and the logistic distribution prevailed, which supported the results of nonnormality from parametric distributional tests.

Keywords: distributions; futures prices; spreads; parametric tests; nonparametric tests (search for similar items in EconPapers)
JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: Written 1997-11-10
Note: Type of Document - Microsoft Word 97; prepared on PC; to print on HP Laser Jet; pages: 34. Office for Futures and Options Research (OFOR) at the University of Illinois, Urbana-Champaign. Working Paper 97-02. For a complete list of OFOR working papers see
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