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Linkages among agricultural commodity futures prices: evidence from Tokyo

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  • G. Geoffrey Booth
  • Cetin Ciner

Abstract

This paper investigates alternative explanations of long-term comovements among the prices of agricultural commodity futures contracts. A long-term interdependency of these prices can exist because of common economic fundamentals or herd behaviour by market participants. An analysis of Tokyo Grain Exchange futures prices supports the common economic fundamentals hypothesis.

Suggested Citation

  • G. Geoffrey Booth & Cetin Ciner, 2001. "Linkages among agricultural commodity futures prices: evidence from Tokyo," Applied Economics Letters, Taylor & Francis Journals, vol. 8(5), pages 311-313.
    • Handle: RePEc:taf:apeclt:v:8:y:2001:i:5:p:311-313
    DOI: 10.1080/135048501750157486
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    1. repec:dau:papers:123456789/1244 is not listed on IDEAS
    2. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Linkages among agricultural commodity futures prices: some further evidence from Tokyo," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 535-539.
    3. Kentaka Aruga, 2011. "Are the Tokyo Grain Exchange non‐genetically modified organism (non‐GMO) and conventional soybean futures markets integrated?," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(1), pages 84-97, May.
    4. Piotr Arendarski & Łukasz Postek, 2012. "Cointegration Based Trading Strategy For Soft Commodities Market," Working Papers 2012-02, Faculty of Economic Sciences, University of Warsaw.
    5. Ge, Yuanlong & Wang, H. Holly & Ahn, Sung K., 2008. "Implication of Cotton Price Behavior on Market Integration," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37623, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    6. Aruga, Kentaka, 2011. "Linkages among the non-genetically modified soybean, conventional soybean, and corn futures markets in the Tokyo Grain Exchange," MPRA Paper 36101, University Library of Munich, Germany.
    7. Yuanlong Ge & Holly H. Wang & Sung K. Ahn, 2010. "Cotton market integration and the impact of China's new exchange rate regime," Agricultural Economics, International Association of Agricultural Economists, vol. 41(5), pages 443-451, September.
    8. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Component structures of agricultural commodity futures traded on the Tokyo Grain Exchange," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 1-9, March.
    9. Donald Lien & Hsiang‐Tai Lee & Her‐Jiun Sheu, 2018. "Hedging systematic risk in the commodity market with a regime‐switching multivariate rotated generalized autoregressive conditional heteroskedasticity model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1514-1532, December.
    10. Yoichi Tsuchiya & David McMillan, 2015. "Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1012436-101, December.

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