The relationship between futures and spot is still
an important issue in academic communities and supervisory departments. In
this paper, the Granger Causality Test is extended into quantile regression
and then the relationship between futures and spot is investigated at
different quantile positions. Note that under the model with differential
data, different quantile positions are related to the corresponding financial
environments. Consequently, a market-dependent casuality between futures and
spot is established, by which we can study the relationship more deeply and
comprehensively. The main points of view obtained in this paper are what
follows: 1. The relationship between futures and spot is strongly related
to the financial environments, besides the features of futures and spot;
2. Under the normal and stable financial markets, there is casuality one
another, but the relationship will be abnormal under extremal financial
conditions, the common relationship between futures and spot is masked by
other financial factors; 3. If the casuality was seen as a normal fact
logically, then the abnormal relationship should indicate a bad or extremal
financial environment, which provides supervisory departments with a warning
signal.