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Metals Prices, Efficiency and Cointegration: Some Evidence from the London Metal Exchange

Citations

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Cited by:

  1. An-Sing Chen & James Wuh Lin, 2004. "Cointegration and detectable linear and nonlinear causality: analysis using the London Metal Exchange lead contract," Applied Economics, Taylor & Francis Journals, vol. 36(11), pages 1157-1167.
  2. Brian Lucey & Fergal O’connor, 2017. "Are gold bugs coherent?," Applied Economics Letters, Taylor & Francis Journals, vol. 24(2), pages 90-94, January.
  3. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
  4. James Kung & Andrew Carverhill, 2005. "A cointegration study of the efficiency of the US Treasury STRIPS market," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 695-703.
  5. Baffes, John, 2009. "More on the energy / non-energy commodity price link," Policy Research Working Paper Series 4982, The World Bank.
  6. Darren Hudson & Emmett Elam & Don Ethridge & Jeff Brown, 1996. "Price information in Producer markets: An evaluation of futures and spot cotton price relationships in the southwest region using cointegration," Agribusiness, John Wiley & Sons, Ltd., vol. 12(4), pages 363-369.
  7. Richard Heaney, 1998. "A Test of the cost‐of‐carry relationship using the London Metal Exchange lead contract," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(2), pages 177-200, April.
  8. Byungkwon Lim & Hyeon Sook Kim & Jaehwan Park, 2020. "Direct Effect of TC on the LME Copper Prices," Economies, MDPI, vol. 8(2), pages 1-9, May.
  9. Clinton Watkins & Michael McAleer, 2003. "Pricing of Non-ferrous Metals Futures on the London Metal Exchange," CIRJE F-Series CIRJE-F-213, CIRJE, Faculty of Economics, University of Tokyo.
  10. Bahman Angoshtari, 2016. "On the Market-Neutrality of Optimal Pairs-Trading Strategies," Papers 1608.08268, arXiv.org.
  11. Barry A. Goss & S. Gulay Avsar, 2013. "Simultaneity, Forecasting and Profits in London Copper Futures," Australian Economic Papers, Wiley Blackwell, vol. 52(2), pages 79-96, June.
  12. Baffes, John & Haniotis, Tassos, 2010. "Placing the 2006/08 commodity price boom into perspective," Policy Research Working Paper Series 5371, The World Bank.
  13. Jonathan Dark, 2005. "A Critique of Minimum Variance Hedging," Accounting Research Journal, Emerald Group Publishing, vol. 18(1), pages 40-49, June.
  14. Growitsch, Christian & Rammerstorfer, Margarethe, 2008. "Zur wettbewerblichen Wirkung des Zweivertragsmodells im deutschen Gasmarkt," WIK Discussion Papers 303, WIK Wissenschaftliches Institut für Infrastruktur und Kommunikationsdienste GmbH.
  15. Aristeidis G. Samitas, 2004. "Interrelationships of Secondary Equity Markets at Domestic and International Level," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 87-98.
  16. Michael McKenzie & Heather Mitchell & Robert Brooks & Robert Faff, 2001. "Power ARCH modelling of commodity futures data on the London Metal Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 22-38.
  17. Kam Chan & Louis Cheng & Ming-Shiun Pan, 1997. "Market efficiency and cointegration: Some evidence in Pacific-Basin black exchange markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(1), pages 25-31, March.
  18. Alper Ozun & Erman Erbaykal, 2009. "Detecting risk transmission from futures to spot markets without data stationarity: Evidence from Turkey's markets," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 365-376, August.
  19. Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 23-42, March.
  20. Heaney, Richard, 2002. "Does knowledge of the cost of carry model improve commodity futures price forecasting ability?: A case study using the London Metal Exchange lead contract," International Journal of Forecasting, Elsevier, vol. 18(1), pages 45-65.
  21. Clinton Watkins & Michael McAleer, 2004. "Econometric modelling of non‐ferrous metal prices," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 651-701, December.
  22. Jian Yang & David J. Leatham, 1998. "Market efficiency of US grain markets: Application of cointegration tests," Agribusiness, John Wiley & Sons, Ltd., vol. 14(2), pages 107-112.
  23. Qian, Ying, 1990. "Do steel prices move together? : a cointegration test," Policy Research Working Paper Series 453, The World Bank.
  24. Alper Kara & Dilem Yildirim & G. Ipek Tunc, 2023. "Market efficiency in non-renewable resource markets: evidence from stationarity tests with structural changes," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 36(2), pages 279-290, June.
  25. Alper Kara & Dilem Yıldırım & Gül İpek Tunç, 2021. "Market Efficiency In Non-Renewable Resource Markets: Evidence From Stationarity Tests With Structural Changes," ERC Working Papers 2103, ERC - Economic Research Center, Middle East Technical University, revised Apr 2021.
  26. Jaehwan Park & Byungkwon Lim, 2018. "Testing Efficiency of the London Metal Exchange: New Evidence," IJFS, MDPI, vol. 6(1), pages 1-10, March.
  27. Watkins, Clinton & McAleer, Michael, 2002. "Cointegration analysis of metals futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(1), pages 207-221.
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