Linkages among agricultural commodity futures prices: evidence from Tokyo
AbstractThis 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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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 8 (2001)
Issue (Month): 5 ()
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- 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.
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- Piotr Arendarski & Łukasz 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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