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Linkages among precious metals commodity futures prices: evidence from Tokyo

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  • Yoichi Tsuchiya

    (State University of New York at Buffalo)

Abstract

We investigate whether long-term co-movements among the prices of precious metals commodity futures contracts can be observed. The past literature on agricultural commodity futures prices obtains the mixed results. We find that there is no long-term interdependence among the prices of the four non-agricultural commodity products traded at the Tokyo Commodity Exchange. The finding provides new evidence against interdependence of commodity futures prices.

Suggested Citation

  • Yoichi Tsuchiya, 2010. "Linkages among precious metals commodity futures prices: evidence from Tokyo," Economics Bulletin, AccessEcon, vol. 30(3), pages 1772-1777.
    • Handle: RePEc:ebl:ecbull:eb-10-00374
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    File URL: http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I3-P162.pdf
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    References listed on IDEAS

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    1. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
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    Cited by:

    1. S. Maria Immanuvel & D. Lazar, 2023. "Does Information Spillover and Leverage Effect Exist in World Gold Markets?," Global Business Review, International Management Institute, vol. 24(3), pages 475-487, June.
    2. Kucher, Oleg & McCoskey, Suzanne, 2017. "The long-run relationship between precious metal prices and the business cycle," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 263-275.
    3. Yoichi Tsuchiya & David McMillan, 2015. "Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1012436-101, December.

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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • O1 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development

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