Arbitrage, cointegration, and the joint dynamics of prices across discrete commodity futures auctions

Cited 7 time in webofscience Cited 10 time in scopus
  • Hit : 373
  • Download : 0
Underlying the search for arbitrage opportunities across commodity futures markets that differ in market structure is the idea that the futures prices for similar commodities that are traded on different exchanges adjusted for differences in currency, delivery time (if any), location, and market structure ape equal. This article examines price linkages in competing discrete commodity futures auction markets. We find no evidence of cointegration of futures prices of similar commodities traded on two contemporaneous discrete auction futures exchanges in Asia. We also find no evidence of arbitrage activities across these two Asian exchanges, though this does not preclude arbitrage activities with North American continuous auction markets. This lack of cointegration may be due to nonstationarities in the trading cost component. (C) 1999 John Wiley & Sons, Inc.
Publisher
JOHN WILEY SONS INC
Issue Date
1999-10
Language
English
Article Type
Article
Keywords

MARKETS; VOLATILITY

Citation

JOURNAL OF FUTURES MARKETS, v.19, no.7, pp.799 - 815

ISSN
0270-7314
DOI
10.1002/(SICI)1096-9934(199910)19:7<799::AID-FUT4>3.0.CO;2-5
URI
http://hdl.handle.net/10203/69545
Appears in Collection
MT-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.
This item is cited by other documents in WoS
⊙ Detail Information in WoSⓡ Click to see webofscience_button
⊙ Cited 7 items in WoS Click to see citing articles in records_button

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0