Testing the international linkage in the platinum-group metal futures markets

被引：11

作者：

Aruga, Kentaka ^{[1
]}

Managi, Shunsuke ^{[1
,2
]}

机构：

[1] Inst Global Environm Strategies, Hayama, Japan

[2] Tohoku Univ, Grad Sch Environm Studies, Sendai, Miyagi 980, Japan

来源：

RESOURCES POLICY | 2011年 / 36卷 / 04期

关键词：

Causality test; Cointegration; Law of one price; PGM futures market; ONE PRICE; LAW; COINTEGRATION; INTEGRATION;

D O I：

10.1016/j.resourpol.2011.09.003

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

This study tests whether an international market exists in the platinum-group metal (PGM) futures markets. For this purpose, we tested the law of one price (LOP) and the causality between the U.S. and Japanese platinum and palladium futures markets. We also performed the test when structural breaks are considered. Long-run price relationships were found in both platinum and palladium markets but the LOP only sustained in the palladium market. The causality test revealed that it is the U.S. market that leads the price to transmit information between the U.S. and Japanese markets. Structural breaks had large impacts on the test results, suggesting that incorporating breaks is important when investigating the international price linkage in the PGM futures markets. (C) 2011 Elsevier Ltd. All rights reserved.

引用

页码：339 / 345

页数：7

共 21 条

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[Anonymous], WORKING PAPER SERIES

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