ツチヤ　ヨウイチ   TSUCHIYA YOICHI   土屋　陽一    所属   明治大学  商学部    職種   専任教授
言語種別	英語
発行・発表の年月	2015/02
形態種別	学術雑誌
査読	査読あり
標題	Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break
執筆形態	単著
掲載誌名	Cogent Economics and Finance
掲載区分	国外
出版社・発行元	Cogent OA
巻・号・頁	3(1)
著者・共著者	Yoichi Tsuchiya
概要	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.
DOI	10.1080/23322039.2015.1012436
ISSN	2332-2039