Lead Lag Relationships Between Resource Prices and Corresponding Resource Company Share Prices
The purpose of this study is to examine the lead lag relationships between resource prices and corresponding resource company share prices. It is hypothesized that as a resource price changes, the share price should also change for a corresponding company producing the resource. However, price changes and price transmission between the two markets may have lag periods. Lags may occur due to factors such as transaction costs, taxes, information arriving in large doses, market imperfections, and market trends. Granger causality tests are used to determine lead lag relationships and direction of causality. The main industries examined are grains, oil, lumber, gold, silver, and copper. Approximately 50 company share prices are included.
|Date of creation:||Jan 2001|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 0409 032 338
Web page: http://www.aares.info/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Franses, Philip Hans & et al, 1997.
"Volatility Transmission and Patterns in Bund Futures,"
Journal of Financial Research,
Southern Finance Association;Southwestern Finance Association, vol. 20(4), pages 459-82, Winter.
- Philip Hans Franses & Reinoud leperen & Paul Kofman & Martin Martens & Bert Menkveld, 1997. "Volatility Transmission And Patterns In Bund Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 20(4), pages 459-482, December.
- Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, vol. 21(2), pages 161-194, February.
- Boyd, Milton S & Brorsen, B Wade, 1986. "Dynamic Price Relationships for U.S. and EC Corn Gluten Feed and," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 13(2), pages 199-215.
- Robert L. Albert Jr. & Timothy R. Smaby & Steve B. Wyatt, 1993. "Did Black Monday Have A Permanent Effect?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(2), pages 123-138, 06.
- Pierce, David A. & Haugh, Larry D., 1977. "Causality in temporal systems : Characterization and a survey," Journal of Econometrics, Elsevier, vol. 5(3), pages 265-293, May.
- Michael Price, J., 1979. "The characterization of instantaneous causality : A correction," Journal of Econometrics, Elsevier, vol. 10(2), pages 253-256, June.
- Milton S. Boyd & B. Wade Brorsen, 1985. "Dynamic Relationship of Weekly Prices In the United States Beef and Pork Marketing Channels," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 33(3), pages 331-342, November.
- Leuthold, Raymond M & Garcia, Philip & Chaherli, Nabil, 1992. "Information, Pricing and Efficiency in Cash and Futures Markets: The Case of Hogs," The Economic Record, The Economic Society of Australia, vol. 0(0), pages 27-33, Supplemen.
When requesting a correction, please mention this item's handle: RePEc:ags:aare01:125959. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search)
If references are entirely missing, you can add them using this form.