Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break

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2 Citations (Scopus)

Abstract

In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among non-agricultural commodity futures prices when a structural break is taken into account, there is no such relationship without allowing for a structural break. We also show that these break points, in fact, occur a few months before the recent global financial crisis. Although the previous literature broadly casts doubt on such price co-movements, our results confirm that market performance improved during the sample period.

Original languageEnglish
Article number1012436
JournalCogent Economics and Finance
Volume3
Issue number1
DOIs
Publication statusPublished - 2015 Feb 13

Keywords

  • Commodity futures
  • Financial crises
  • Futures pricing
  • Price discovery

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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