Linkages among agricultural commodity futures prices: evidence from Tokyo
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.
Volume (Year): 8 (2001)
Issue (Month): 5 ()
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