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

Aruga, Kentaka & Managi, Shunsuke (2011) Testing the international linkage in the platinum-group metal futures markets. Resources Policy, 36(4), pp. 339-345.

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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.

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2 citations in Scopus
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3 citations in Web of Science®

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ID Code: 75452
Item Type: Journal Article
Refereed: Yes
Keywords: Causality test; Cointegration; Law of one price; PGM futures market
DOI: 10.1016/j.resourpol.2011.09.003
ISSN: 03014207
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 25 Aug 2014 00:07
Last Modified: 25 Aug 2014 23:40

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