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Lookup NU author(s): Dr Philip Dawson, Dr Benedict White
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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
Year: 2002
Volume: 22
Issue: 3
Pages: 271-284
ISSN (print): 0270-7314
ISSN (electronic): 1096-9934
Publisher: John Wiley & Sons, Inc.
URL: http://dx.doi.org/10.1002/fut.2217
DOI: 10.1002/fut.2217
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