Table 3: Statistical description of conditional correlation coefficients between spot and futures with different maturities.

Conditional correlationMean Standard deviation Maximum Minimum

0.81420.07660.89160.3935
0.81550.07640.89270.3997
0.81930.07580.89510.3942
0.82750.07380.89890.4062
0.82350.07470.89620.4003