Price linkages in the copper futures, primary, and scrap markets
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Description
This study investigates how markets for different levels of copper purity are interrelated by testing the long-run price linkage and causalities among the copper futures, primary, copper scrap, and brass scrap markets. It is expected that copper markets that deal with high purity levels, such as the futures, primary, and copper scrap markets, have a long-run relationship. However, brass scrap markets where copper with a lower purity is traded may not have a price linkage with other copper markets. The results reveal that a long-run relationship holds between the futures, primary, and copper scrap markets but the brass scrap market does not have a long-run relationship with the other markets. From the short-run and long-run causality tests, we determine that the futures market plays an important role in transmitting price information to other copper markets while such information flow is not found for the brass scrap market.
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ID Code: | 75454 |
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Item Type: | Contribution to Journal (Journal Article) |
Refereed: | Yes |
Measurements or Duration: | 5 pages |
Keywords: | Brass scrap, Causality, Cointegration, Copper scrap, Futures market |
DOI: | 10.1016/j.resconrec.2011.08.010 |
ISSN: | 0921-3449 |
Pure ID: | 32116774 |
Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
Copyright Owner: | Consult author(s) regarding copyright matters |
Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au |
Deposited On: | 24 Aug 2014 23:51 |
Last Modified: | 09 Jul 2024 17:18 |
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