Law of One Price in International Commodity Markets: A Fractional Cointegration Analysis

Samarendu Mohanty, Darnell B. Smith, E. Wesley F. Peterson and William H. Meyers

No 18400, Hebrew University of Jerusalem Archive from Hebrew University of Jerusalem

Abstract: This paper examine the Law of One Price (LOP) in the International Commodity markets using a fractional cointegration analysis. Out of nine pairs of price series examined, fractional cointegration supports the existence of the LOP in eight cases as compared to three cases as in standard cointegration process.

Keywords: International; Relations/Trade (search for similar items in EconPapers)
Pages: 18
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:ags:hebarc:18400

DOI: 10.22004/ag.econ.18400

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