論文

査読有り
2011年12月

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

RESOURCES POLICY
  • Kentaka Aruga
  • ,
  • Shunsuke Managi

36
4
開始ページ
339
終了ページ
345
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.1016/j.resourpol.2011.09.003
出版者・発行元
ELSEVIER SCI LTD

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.

Web of Science ® 被引用回数 : 8

リンク情報
DOI
https://doi.org/10.1016/j.resourpol.2011.09.003
Scopus
https://www.scopus.com/record/display.uri?eid=2-s2.0-81955167422&origin=inward
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000298532100005&DestApp=WOS_CPL
URL
http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=81955167422&origin=inward