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Price Linkages in the Copper Futures, Primary, and Scrap Markets

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  • Aruga, Kentaka
  • Managi, Shunsuke

Abstract

This study investigates how markets for different levels of copper purity are interrelated by testing the long-run price linkage and causalities among the copper futures, primary, copper scrap, and brass scrap markets. It is expected that copper markets that deal with high purity levels, such as the futures, primary, and copper scrap markets, have a long-run relationship. However, brass scrap markets where copper with a lower purity is traded may not have a price linkage with other copper markets. The results reveal that a long-run relationship holds between the futures, primary, and copper scrap markets but the brass scrap market does not have a long-run relationship with the other markets. From the short-run and long-run causality tests, we determine that the futures market plays an important role in transmitting price information to other copper markets while such information flow is not found for the brass scrap market.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 36089.

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Date of creation: 31 Aug 2011
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Handle: RePEc:pra:mprapa:36089

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Related research

Keywords: futures market; copper scrap; brass scrap; cointegration; causality;

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References

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  1. Renhai Hua & Baizhu Chen, 2007. "International linkages of the Chinese futures markets," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(16), pages 1275-1287.
  2. Kentaka Aruga & Shunsuke Managi, 2011. "Tests on price linkage between the U.S. and Japanese gold and silver futures markets," Economics Bulletin, AccessEcon, vol. 31(2), pages 1038-1046.
  3. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, Elsevier, vol. 60(1-2), pages 203-233.
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Cited by:
  1. Todorova, Neda & Worthington, Andrew & Souček, Michael, 2014. "Realized volatility spillovers in the non-ferrous metal futures market," Resources Policy, Elsevier, Elsevier, vol. 39(C), pages 21-31.

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