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Interdependencies between agricultural commodity futures prices on the LIFFE

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  • P. J. Dawson
  • B. White

Abstract

Interdependencies between commodity prices can arise from the impact of changing macroeconomic variables, from complementarities or substitutabilities between commodities, or from common responses by speculators. Malliaris and Urrutia (1996) found significant linkages between rollover prices of six related agricultural commodities on the Chicago Board of Trade. This article examines interdependencies between futures prices for soft commodities traded on the London International Financial Futures Exchange (LIFFE), calculated using Clark indices. Results show that there are no interdependencies between any two prices; price discovery of one contract provides no information about others. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22: 269–280, 2002

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  • P. J. Dawson & B. White, 2002. "Interdependencies between agricultural commodity futures prices on the LIFFE," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 22(3), pages 269-280, March.
    • Handle: RePEc:wly:jfutmk:v:22:y:2002:i:3:p:269-280
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    Cited by:

    1. Campiche, Jody L. & Bryant, Henry L. & Richardson, James W. & Outlaw, Joe L., 2007. "Examining the Evolving Correspondence Between Petroleum Prices and Agricultural Commodity Prices," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon 9881, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Philip J. Dawson & Ana I. Sanjuán & Ben White, 2006. "Structural Breaks and the Relationship between Barley and Wheat Futures Prices on the London International Financial Futures Exchange," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 28(4), pages 585-594.
    3. Sinha, Pankaj & Mathur, Kritika, 2013. "International Linkages of Agri-Processed and Energy commodities traded in India," MPRA Paper 50214, University Library of Munich, Germany, revised 26 Sep 2013.
    4. repec:dau:papers:123456789/1244 is not listed on IDEAS
    5. 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.
    6. 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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