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Metals Prices, Efficiency and Cointegration: Some Evidence from the London Metal Exchange

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  • MacDonald, Ronald
  • Taylor, Mark P

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  • MacDonald, Ronald & Taylor, Mark P, 1988. "Metals Prices, Efficiency and Cointegration: Some Evidence from the London Metal Exchange," Bulletin of Economic Research, Wiley Blackwell, vol. 40(3), pages 235-239, June.
  • Handle: RePEc:bla:buecrs:v:40:y:1988:i:3:p:235-39
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    1. Michel Lubrano & Luc Bauwens & Alan Kirman & Camelia Protopopescu, 2003. "Ranking Economics Departments in Europe: A Statistical Approach," Journal of the European Economic Association, MIT Press, vol. 1(6), pages 1367-1401, December.
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    4. Richard Pomfret & Liang Choon Wang, 2003. "Evaluating The Research Output Of Australian Universities' Economics Departments," Australian Economic Papers, Wiley Blackwell, vol. 42(4), pages 418-441, December.
    5. Joao Ricardo Faria, 2000. "The Research Output of Academic Economists in Brazil," Working Paper Series 100, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    6. Joseph Macri & Dipendra Sinha, 2006. "Rankings Methodology for International Comparisons of Institutions and Individuals: an Application to Economics in Australia and New Zealand," Journal of Economic Surveys, Wiley Blackwell, vol. 20(1), pages 111-156, February.
    7. Pantelis Kalaitzidakis & Theofanis P. Mamuneas & Thanasis Stengos, 1999. "Rankings of Economic Departments Among Greek-Speaking Institutions," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 3(1), pages 70-75, summer.
    8. Tom Coupé & Patrick Paul Walsh, 2003. "Quality Based Rankings of Irish Economists 1990-2000," The Economic and Social Review, Economic and Social Studies, vol. 34(2), pages 145-149.
    9. Pantelis Kalaitzidakis & Theofanis P. Mamuneas & Thanasis Stengos, 2003. "Rankings of Academic Journals and Institutions in Economics," Journal of the European Economic Association, MIT Press, vol. 1(6), pages 1346-1366, December.
    10. Michael E. Conroy & Richard Dusansky, 1995. "The Productivity of Economics Departments in the U.S.: Publications in the Core Journals," Journal of Economic Literature, American Economic Association, vol. 33(4), pages 1966-1971, December.
    11. Franklin Mixon & Kamal Upadhyaya, 2001. "Ranking economics departments in the US South," Applied Economics Letters, Taylor & Francis Journals, vol. 8(2), pages 115-119.
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    Cited by:

    1. Jonathan Dark, 2005. "A Critique of Minimum Variance Hedging," Accounting Research Journal, Emerald Group Publishing, vol. 18(1), pages 40-49, June.
    2. An-Sing Chen & James Wuh Lin, 2004. "Cointegration and detectable linear and nonlinear causality: analysis using the London Metal Exchange lead contract," Applied Economics, Taylor & Francis Journals, vol. 36(11), pages 1157-1167.
    3. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
    4. Aristeidis G. Samitas, 2004. "Interrelationships of Secondary Equity Markets at Domestic and International Level," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 87-98.
    5. Michael McKenzie & Heather Mitchell & Robert Brooks & Robert Faff, 2001. "Power ARCH modelling of commodity futures data on the London Metal Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 22-38.
    6. James Kung & Andrew Carverhill, 2005. "A cointegration study of the efficiency of the US Treasury STRIPS market," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 695-703.
    7. Baffes, John, 2009. "More on the energy / non-energy commodity price link," Policy Research Working Paper Series 4982, The World Bank.
    8. Alper Ozun & Erman Erbaykal, 2009. "Detecting risk transmission from futures to spot markets without data stationarity: Evidence from Turkey's markets," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 365-376, August.
    9. Richard Heaney, 1998. "A Test of the cost‐of‐carry relationship using the London Metal Exchange lead contract," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(2), pages 177-200, April.
    10. Clinton Watkins & Michael McAleer, 2006. "Pricing of non-ferrous metals futures on the London Metal Exchange," Applied Financial Economics, Taylor & Francis Journals, pages 853-880.
    11. Heaney, Richard, 2002. "Does knowledge of the cost of carry model improve commodity futures price forecasting ability?: A case study using the London Metal Exchange lead contract," International Journal of Forecasting, Elsevier, vol. 18(1), pages 45-65.
    12. Bahman Angoshtari, 2016. "On the Market-Neutrality of Optimal Pairs-Trading Strategies," Papers 1608.08268, arXiv.org.
    13. Qian, Ying, 1990. "Do steel prices move together? : a cointegration test," Policy Research Working Paper Series 453, The World Bank.
    14. Watkins, Clinton & McAleer, Michael, 2002. "Cointegration analysis of metals futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(1), pages 207-221.

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