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Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange

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Author Info
Ramaprasad Bhar ()
Shigeyuki Hamori ()

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Abstract

In this paper, we propose a discrete version of the short-term and long-term component model of the agricultural futures prices. The maximum likelihood estimate of each parameter is obtained using an adaptive filtering algorithm. The diagnostics statistically support the specification of the model. The short-term components exhibit no causal relationship with economic fundamentals such as inflation rate and economic growth rate. These components, therefore, seem to be driven mainly by fads rather than market fundamentals. On the other hand, the long-term components show conitegrating relationship with only one cointegrating vector among the three futures contracts examined. Copyright Springer Science+Business Media, LLC 2006

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File URL: http://hdl.handle.net/10.1007/s10690-007-9032-2
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Publisher Info
Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 13 (2006)
Issue (Month): 1 (March)
Pages: 1-9
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Handle: RePEc:kap:apfinm:v:13:y:2006:i:1:p:1-9

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Web page: http://springerlink.metapress.com/link.asp?id=102851

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Related research
Keywords: Agricultural futures; Kalman filter; Fads; G12;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Booth, G Geoffrey & Brockman, Paul & Tse, Yiuman, 1998. "The Relationship between US and Canadian Wheat Futures," Applied Financial Economics, Taylor and Francis Journals, vol. 8(1), pages 73-80, February. [Downloadable!] (restricted)
  2. Pindyck, Robert S & Rotemberg, Julio J, 1990. "The Excess Co-movement of Commodity Prices," Economic Journal, Royal Economic Society, vol. 100(403), pages 1173-89, December. [Downloadable!] (restricted)
    Other versions:
  3. Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July. [Downloadable!] (restricted)
  4. McKenzie, Andrew M & Holt, Matthew T, 2002. "Market Efficiency in Agricultural Futures Markets," Applied Economics, Taylor and Francis Journals, vol. 34(12), pages 1519-32, August. [Downloadable!] (restricted)
    Other versions:
  5. Yang, Jian & Haigh, Michael S & Leatham, David J, 2001. "Agricultural Liberalization Policy and Commodity Price Volatility: A GARCH Application," Applied Economics Letters, Taylor and Francis Journals, vol. 8(9), pages 593-98, September. [Downloadable!] (restricted)
  6. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, December.
  7. Jumah, Adusei & Karbuz, Sohbet & Runstler, Gerhard, 1999. "Interest Rate Differentials, Market Integration, and the Efficiency of Commodity Futures Markets," Applied Financial Economics, Taylor and Francis Journals, vol. 9(1), pages 101-08, February. [Downloadable!] (restricted)
  8. Reinhart, Carmen & Wickham, Peter, 1994. "Commodity Prices: Cyclical Weakness or Secular Decline?," MPRA Paper 8173, University Library of Munich, Germany. [Downloadable!]
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  9. Booth, G Geoffrey & Ciner, Cetin, 2001. "Linkages among Agricultural Commodity Futures Prices: Evidence from Tokyo," Applied Economics Letters, Taylor and Francis Journals, vol. 8(5), pages 311-13, May. [Downloadable!] (restricted)
  10. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Linkages among agricultural commodity futures prices: some further evidence from Tokyo," Applied Economics Letters, Taylor and Francis Journals, vol. 13(8), pages 535-539, June. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Yasuyuki Itoh, 2007. "A Class of Gaussian Hybrid Processes for Modeling Financial Markets," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 185-199, September. [Downloadable!] (restricted)
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