Linkages among agricultural commodity futures prices: some further evidence from Tokyo
AbstractBooth and Ciner (2001) find that the prices of commodity futures traded on the Tokyo Grain Exchange (TGE) do not move together in the long run. This study analyses whether their empirical results remain true for a more recent period. The empirical results suggest that the cointegrating relation exists among commodity futures contracts from 2000 to 2003, but not earlier during the 1990s. This indicates that the price mechanism works better and the long-run relationships among prices become more apparent as a market develops.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 13 (2006)
Issue (Month): 8 ()
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