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Tests on price linkage between the U.S. and Japanese gold and silver futures markets

Author

Listed:
  • Kentaka Aruga

    () (Institute for Global Environmental Strategies)

  • Shunsuke Managi

    () (Tohoku University)

Abstract

We tested the price linkage, the law of one price (LOP) condition, and the causality of the price linkage between the U.S. and Japanese gold and silver futures markets with consideration of structural breaks in the price series. The LOP condition did not hold for both the gold and silver markets when structural breaks were not considered but it sustained in some periods when it was tested for the break periods. We found from the causality test that the price linkage between the U.S. and Japanese gold and silver futures markets were led by the U.S. market.

Suggested Citation

  • 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.
  • Handle: RePEc:ebl:ecbull:eb-11-00140
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P97.pdf
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    References listed on IDEAS

    as
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    5. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    6. Yang, Jian & Bessler, David A. & Leatham, David J., 2000. "The Law Of One Price: Developed And Developing Country Market Integration," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(03), December.
    7. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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    Citations

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    Cited by:

    1. Mensi, Walid & Beljid, Makram & Boubaker, Adel & Managi, Shunsuke, 2013. "Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold," Economic Modelling, Elsevier, vol. 32(C), pages 15-22.
    2. repec:eee:finana:v:55:y:2018:i:c:p:35-49 is not listed on IDEAS
    3. Sinha, Pankaj & Mathur, Kritika, 2016. "Linkages between Gold Futures Traded in Indian Commodity Futures Market and International Commodity Futures Market," MPRA Paper 72967, University Library of Munich, Germany.
    4. repec:eee:finana:v:52:y:2017:i:c:p:292-308 is not listed on IDEAS
    5. Aruga, Kentaka & Managi, Shunsuke, 2011. "Testing the international linkage in the platinum-group metal futures markets," Resources Policy, Elsevier, vol. 36(4), pages 339-345.
    6. Yaya, OlaOluwa S. & Tumala, Mohammed M. & Udomboso, Christopher G., 2016. "Volatility persistence and returns spillovers between oil and gold prices: Analysis before and after the global financial crisis," Resources Policy, Elsevier, vol. 49(C), pages 273-281.
    7. Aruga, Kentaka & Managi, Shunsuke, 2011. "Price Linkages in the Copper Futures, Primary, and Scrap Markets," MPRA Paper 36089, University Library of Munich, Germany.

    More about this item

    Keywords

    gold futures market; silver futures market; cointegration; law of one price; causality test;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance

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