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TSUCHIYA YOICHI
Department Undergraduate School , School of Commerce Position Professor |
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| Language | English |
| Publication Date | 2015/02 |
| Type | Academic Journal |
| Peer Review | Peer reviewed |
| Title | Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break |
| Contribution Type | Sole-authored |
| Journal | Cogent Economics and Finance |
| Journal Type | Another Country |
| Publisher | Cogent OA |
| Volume, Issue, Page | 3(1) |
| Author and coauthor | Yoichi Tsuchiya |
| Details | 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 |