Browse by author
Lookup NU author(s): Dr Philip Dawson,
Dr Benedict White
Full text for this publication is not currently held within this repository. Alternative links are provided below where available.
Interdependencies between commodity prices can arise from the impact of changing macroeconomic variables, from complementarities or substitutabilities between commodities, or from common responses by speculators. Malliaris and Urrutia (1996) found significant linkages between rollover prices of six related agricultural commodities on the Chicago Board of Trade. This article examines interdependencies between futures prices for soft commodities traded on the London International Financial Futures Exchange (LIFFE), calculated using Clark indices. Results show that there are no interdependencies between any two prices; price discovery of one contract provides no information about others. (C) 2002 John Wiley Sons, Inc.
Author(s): White B; Dawson PJ
Publication type: Article
Publication status: Published
Journal: Journal of Futures Markets
ISSN (print): 0270-7314
ISSN (electronic): 1096-9934
Publisher: John Wiley & Sons, Inc.
Altmetrics provided by Altmetric