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

Kentaka , Aruga & Managi, Shunsuke (2011) Tests on price linkage between the U.S. and Japanese gold and silver futures markets. Economics Bulletin, 32(2), pp. 1038-1046.

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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.

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ID Code: 75399
Item Type: Journal Article
Refereed: Yes
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Copyright Owner: Economics Bulletin
Deposited On: 21 Aug 2014 07:09
Last Modified: 22 Jun 2017 10:02

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