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Tests on price linkage between the U.S. and Japanese gold and silver futures markets

Author

Listed:
  • Kentaka Aruga

    (Institute for Global Environmental Strategies)

  • Shunsuke Managi

    (Tohoku University)

Abstract

We tested the price linkage, the law of one price (LOP) condition, and the causality of the price linkage between the U.S. and Japanese gold and silver futures markets with consideration of structural breaks in the price series. The LOP condition did not hold for both the gold and silver markets when structural breaks were not considered but it sustained in some periods when it was tested for the break periods. We found from the causality test that the price linkage between the U.S. and Japanese gold and silver futures markets were led by the U.S. market.

Suggested Citation

  • Kentaka Aruga & Shunsuke Managi, 2011. "Tests on price linkage between the U.S. and Japanese gold and silver futures markets," Economics Bulletin, AccessEcon, vol. 31(2), pages 1038-1046.
    • Handle: RePEc:ebl:ecbull:eb-11-00140
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    References listed on IDEAS

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    Cited by:

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    3. Kumar Ravi & Dhiman Babli, 2022. "Indian and Chinese Metal Futures Markets: A Linkage Analysis," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 10(1), pages 1-14, September.
    4. Vigne, Samuel A. & Lucey, Brian M. & O’Connor, Fergal A. & Yarovaya, Larisa, 2017. "The financial economics of white precious metals — A survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 292-308.
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    More about this item

    Keywords

    gold futures market; silver futures market; cointegration; law of one price; causality test;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance

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