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Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange

  • Ramaprasad Bhar

    ()

  • Shigeyuki Hamori

    ()

In this paper, we propose a discrete version of the short-term and long-term component model of the agricultural futures prices. The maximum likelihood estimate of each parameter is obtained using an adaptive filtering algorithm. The diagnostics statistically support the specification of the model. The short-term components exhibit no causal relationship with economic fundamentals such as inflation rate and economic growth rate. These components, therefore, seem to be driven mainly by fads rather than market fundamentals. On the other hand, the long-term components show conitegrating relationship with only one cointegrating vector among the three futures contracts examined. Copyright Springer Science+Business Media, LLC 2006

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File URL: http://hdl.handle.net/10.1007/s10690-007-9032-2
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Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 13 (2006)
Issue (Month): 1 (March)
Pages: 1-9

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Handle: RePEc:kap:apfinm:v:13:y:2006:i:1:p:1-9
Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102851

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  1. Jian Yang & Michael Haigh & David Leatham, 2001. "Agricultural liberalization policy and commodity price volatility: a GARCH application," Applied Economics Letters, Taylor & Francis Journals, vol. 8(9), pages 593-598.
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  6. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Linkages among agricultural commodity futures prices: some further evidence from Tokyo," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 535-539.
  7. G. Geoffrey Booth & Cetin Ciner, 2001. "Linkages among agricultural commodity futures prices: evidence from Tokyo," Applied Economics Letters, Taylor & Francis Journals, vol. 8(5), pages 311-313.
  8. Shigeyuki Hamori & Naoko Hamori & David A. Anderson, 2001. "An Empirical Analysis of the Efficiency of the Osaka Rice Market During Japan's Tokugawa Era," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(9), pages 861-874, 09.
  9. McKenzie, Andrew M. & Holt, Matthew T., 1998. "Market Efficiency In Agricultural Futures Markets," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20933, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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