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Tests on price linkage between the U.S. and Japanese gold and silver futures markets

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Author Info

  • Kentaka Aruga

    ()
    (Institute for Global Environmental Strategies)

  • Shunsuke Managi

    ()
    (Tohoku University)

Abstract

We tested the price linkage, the law of one price (LOP) condition, and the causality of the price linkage between the U.S. and Japanese gold and silver futures markets with consideration of structural breaks in the price series. The LOP condition did not hold for both the gold and silver markets when structural breaks were not considered but it sustained in some periods when it was tested for the break periods. We found from the causality test that the price linkage between the U.S. and Japanese gold and silver futures markets were led by the U.S. market.

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File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P97.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 31 (2011)
Issue (Month): 2 ()
Pages: 1038-1046

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Handle: RePEc:ebl:ecbull:eb-11-00140

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Related research

Keywords: gold futures market; silver futures market; cointegration; law of one price; causality test;

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References

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  1. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  2. Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
  3. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  4. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
  5. Kristofersson, Dadi & Anderson, James L., 2006. "Is there a relationship between fisheries and farming? Interdependence of fisheries, animal production and aquaculture," Marine Policy, Elsevier, vol. 30(6), pages 721-725, November.
  6. Yang, Jian & Bessler, David A. & Leatham, David J., 2000. "The Law Of One Price: Developed And Developing Country Market Integration," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(03), December.
  7. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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Citations

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Cited by:
  1. Aruga, Kentaka & Managi, Shunsuke, 2011. "Price Linkages in the Copper Futures, Primary, and Scrap Markets," MPRA Paper 36089, University Library of Munich, Germany.
  2. Mensi, Walid & Beljid, Makram & Boubaker, Adel & Managi, Shunsuke, 2013. "Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold," MPRA Paper 44395, University Library of Munich, Germany.
  3. Aruga, Kentaka & Managi, Shunsuke, 2011. "Testing the international linkage in the platinum-group metal futures markets," Resources Policy, Elsevier, vol. 36(4), pages 339-345.

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