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Testing the international linkage in the platinum-group metal futures markets


  • Aruga, Kentaka
  • Managi, Shunsuke


This study tests whether an international market exists in the platinum-group metal (PGM) futures markets. For this purpose, we tested the law of one price (LOP) and the causality between the U.S. and Japanese platinum and palladium futures markets. We also performed the test when structural breaks are considered. Long-run price relationships were found in both platinum and palladium markets but the LOP only sustained in the palladium market. The causality test revealed that it is the U.S. market that leads the price to transmit information between the U.S. and Japanese markets. Structural breaks had large impacts on the test results, suggesting that incorporating breaks is important when investigating the international price linkage in the PGM futures markets.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:jrpoli:v:36:y:2011:i:4:p:339-345 DOI: 10.1016/j.resourpol.2011.09.003

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    References listed on IDEAS

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    Cited by:

    1. 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.
    2. Aboura Sofiane & Chevallier Julien & Jammazi Rania & Tiwari Aviral Kumar, 2016. "The place of gold in the cross-market dependencies," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(5), pages 567-586, December.
    3. Kentaka Aruga & Shunsuke Managi, 2012. "Testing the effects of the Japanese vehicle emission-control law on the international palladium futures market," Economics Bulletin, AccessEcon, vol. 32(2), pages 1198-1207.
    4. Sinha, Pankaj & Mathur, Kritika, 2013. "Price, Return and Volatility Linkages of Base Metal Futures traded in India," MPRA Paper 47864, University Library of Munich, Germany.
    5. Aruga Kentaka, 2011. "Market Efficiency in the Non-Genetically Modified Soybean Futures Market," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 9(1), pages 1-13, December.
    6. Bosch, David & Pradkhan, Elina, 2015. "The impact of speculation on precious metals futures markets," Resources Policy, Elsevier, vol. 44(C), pages 118-134.
    7. Aruga, Kentaka, 2013. "The U.S. Shale Gas Revolution and Its Effect on International Gas Markets," MPRA Paper 49545, University Library of Munich, Germany.
    8. repec:eee:finana:v:52:y:2017:i:c:p:333-347 is not listed on IDEAS

    More about this item


    Causality test; Cointegration; Law of one price; PGM futures market;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • L61 - Industrial Organization - - Industry Studies: Manufacturing - - - Metals and Metal Products; Cement; Glass; Ceramics


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