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Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break.
- Source :
- Cogent Economics & Finance; 2015, Vol. 3 Issue 1, p1-N.PAG, 13p
- Publication Year :
- 2015
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 23322039
- Volume :
- 3
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Cogent Economics & Finance
- Publication Type :
- Academic Journal
- Accession number :
- 114581684
- Full Text :
- https://doi.org/10.1080/23322039.2015.1012436