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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. Adusei Jumah & Sohbet Karbuz & Gerhard Runstler, 1999. "Interest rate differentials, market integration, and the efficiency of commodity futures markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 101-108.
  2. Yang, Jian & Leatham, David J. & Haigh, Michael S., 1999. "Agricultural Liberalization Policy and Commodity Price Volatility: A GARCH Application," Proceedings: 1999 Regional Committee NC-221, 1999, Mississauga, Ontario, Canada 132337, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
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  4. Carmen M. Reinhart & Peter Wickham, 1994. "Commodity Prices: Cyclical Weakness or Secular Decline?," IMF Staff Papers, Palgrave Macmillan, vol. 41(2), pages 175-213, June.
  5. 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.
  6. 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.
  7. Andrew McKenzie & Matthew Holt, 2002. "Market efficiency in agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 34(12), pages 1519-1532.
  8. G. Geoffrey Booth & Paul Brockman & Yiuman Tse, 1998. "The relationship between US and Canadian wheat futures," Applied Financial Economics, Taylor & Francis Journals, vol. 8(1), pages 73-80.
  9. Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July.
  10. Andrew C. Harvey, 1990. "The Econometric Analysis of Time Series, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026208189x, August.
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