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Lead Lag Relationships Between Resource Prices and Corresponding Resource Company Share Prices

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  • Stevenson, Alan
  • Boyd, Milton S.

Abstract

The purpose of this study is to examine the lead lag relationships between resource prices and corresponding resource company share prices. It is hypothesized that as a resource price changes, the share price should also change for a corresponding company producing the resource. However, price changes and price transmission between the two markets may have lag periods. Lags may occur due to factors such as transaction costs, taxes, information arriving in large doses, market imperfections, and market trends. Granger causality tests are used to determine lead lag relationships and direction of causality. The main industries examined are grains, oil, lumber, gold, silver, and copper. Approximately 50 company share prices are included.

Suggested Citation

  • Stevenson, Alan & Boyd, Milton S., 2001. "Lead Lag Relationships Between Resource Prices and Corresponding Resource Company Share Prices," 2001 Conference (45th), January 23-25, 2001, Adelaide, Australia 125959, Australian Agricultural and Resource Economics Society.
    • Handle: RePEc:ags:aare01:125959
    DOI: 10.22004/ag.econ.125959
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