Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break

Artikel

In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among non-agricultural commodity futures prices when a structural break is taken into account, there is no such relationship without allowing for a structural break. We also show that these break points, in fact, occur a few months before the recent global financial crisis. Although the previous literature broadly casts doubt on such price co-movements, our results confirm that market performance improved during the sample period.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 3 ; Year: 2015 ; Issue: 1 ; Pages: 1-13 ; Abingdon: Taylor & Francis

Classification and Topics

• Classification: Wirtschaft ; Financial Crises ; Contingent Pricing; Futures Pricing; option pricing ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: commodity futures ; price discovery ; futures pricing ; financial crises

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Tsuchiya, Yoichi
• Event: Veröffentlichung
• (who): Taylor & Francis
• (where): Abingdon
• (when): 2015

Further information

• DOI: doi:10.1080/23322039.2015.1012436
• Handle: http://hdl.handle.net/10419/147744
• Last update: 10.03.2025, 11:44 AM CET