The Pattern of Price Linkages Among Commodities
Jeffrey Dorfman and
Journal of Futures Markets, 2014, vol. 34, issue 11, 1062-1076
We investigate the linkages between commodity futures prices to determine whether the price patterns have changed during time periods with major changes in the markets. Examining data from 1990 through 2011 we search for changing patterns in correlation coefficients, (non)stationarity, and cointegration among a set of commodities with widely traded futures markets. We find that simple correlation coefficients between futures prices and the probability of nonstationarity of the series have increased over time. However, our cointegration test results show no evidence for an increase in cointegration. This mixed evidence suggests that futures markets have become more efficient over time, but that previously unrelated commodities have not seen equilibrium relationships established. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:1062–1076, 2014
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