Tests on price linkage between the U.S. and Japanese gold and silver futures markets

Kentaka Aruga and Shunsuke Managi

Economics Bulletin, 2011, vol. 31, issue 2, 1038-1046

Abstract: We tested the price linkage, the law of one price (LOP) condition, and the causality of the price linkage between the U.S. and Japanese gold and silver futures markets with consideration of structural breaks in the price series. The LOP condition did not hold for both the gold and silver markets when structural breaks were not considered but it sustained in some periods when it was tested for the break periods. We found from the causality test that the price linkage between the U.S. and Japanese gold and silver futures markets were led by the U.S. market.

Keywords: gold futures market; silver futures market; cointegration; law of one price; causality test (search for similar items in EconPapers)
JEL-codes: G1 L1 (search for similar items in EconPapers)
Date: 2011-04-06
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Citations: View citations in EconPapers (13)

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