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Linkages among agricultural commodity futures prices: evidence from Tokyo

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  • G. Geoffrey Booth
  • Cetin Ciner

Abstract

This paper investigates alternative explanations of long-term comovements among the prices of agricultural commodity futures contracts. A long-term interdependency of these prices can exist because of common economic fundamentals or herd behaviour by market participants. An analysis of Tokyo Grain Exchange futures prices supports the common economic fundamentals hypothesis.

Suggested Citation

  • 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.
  • Handle: RePEc:taf:apeclt:v:8:y:2001:i:5:p:311-313
    DOI: 10.1080/135048501750157486
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    Cited by:

    1. Kentaka Aruga, 2011. "Are the Tokyo Grain Exchange non-genetically modified organism (non-GMO) and conventional soybean futures markets integrated?," Agricultural Finance Review, Emerald Group Publishing, vol. 71(1), pages 84-97, May.
    2. Piotr Arendarski & Ɓukasz Postek, 2012. "Cointegration Based Trading Strategy For Soft Commodities Market," Working Papers 2012-02, Faculty of Economic Sciences, University of Warsaw.
    3. Aruga, Kentaka, 2011. "Linkages among the non-genetically modified soybean, conventional soybean, and corn futures markets in the Tokyo Grain Exchange," MPRA Paper 36101, University Library of Munich, Germany.
    4. Yuanlong Ge & Holly H. Wang & Sung K. Ahn, 2010. "Cotton market integration and the impact of China's new exchange rate regime," Agricultural Economics, International Association of Agricultural Economists, vol. 41(5), pages 443-451, September.
    5. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 1-9, March.
    6. repec:dau:papers:123456789/1244 is not listed on IDEAS
    7. 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.
    8. repec:taf:oaefxx:v:3:y:2015:i:1:p:1012436 is not listed on IDEAS

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