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Linkages among agricultural commodity futures prices: evidence from Tokyo

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  • G. Geoffrey Booth
  • Cetin Ciner
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    Abstract

    This paper investigates alternative explanations of long-term comovements among the prices of agricultural commodity futures contracts. A long-term interdependency of these prices can exist because of common economic fundamentals or herd behaviour by market participants. An analysis of Tokyo Grain Exchange futures prices supports the common economic fundamentals hypothesis.

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    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/135048501750157486&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 8 (2001)
    Issue (Month): 5 ()
    Pages: 311-313

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    Handle: RePEc:taf:apeclt:v:8:y:2001:i:5:p:311-313

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    Cited by:
    1. Aruga, Kentaka, 2011. "Linkages among the non-genetically modified soybean, conventional soybean, and corn futures markets in the Tokyo Grain Exchange," MPRA Paper 36101, University Library of Munich, Germany.
    2. Riva, Fabrice & Lautier, Delphine, 2004. "Liquidity and volatility in the American crude oil futures market," Economics Papers from University Paris Dauphine 123456789/1244, Paris Dauphine University.
    3. Kentaka Aruga, 2011. "Are the Tokyo Grain Exchange non-genetically modified organism (non-GMO) and conventional soybean futures markets integrated?," Agricultural Finance Review, Emerald Group Publishing, vol. 71(1), pages 84-97, May.
    4. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Linkages among agricultural commodity futures prices: some further evidence from Tokyo," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 535-539.
    5. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer, vol. 13(1), pages 1-9, March.
    6. Piotr Arendarski & Ɓukasz Postek, 2012. "Cointegration Based Trading Strategy For Soft Commodities Market," Working Papers 2012-02, Faculty of Economic Sciences, University of Warsaw.

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