Interdependencies between agricultural commodity futures prices on the LIFFE
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. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22: 269–280, 2002
Year of publication: |
2002
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Authors: | Dawson, P. J. ; White, B. |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 22.2002, 3, p. 269-280
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Publisher: |
John Wiley & Sons, Ltd. |
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