price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The …-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the … find slightly more evidence of price discovery in the spot market. Specifically, using standard likelihood ratio tests, we …

futures markets. The empirical evidence suggests that investor sentiment has a positive impact on price volatility and the bid … advantages on the futures market, which diminishes the futures markets' leading informational role and contributions to price … discovery. Our findings provide support for the theory of limits to arbitrage …

price discovery in the spot and futures markets for five non-ferrous metals (aluminum, copper, lead, nickel, and zinc). The …-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the … find slightly more evidence of price discovery in the spot market. Specifically, using standard likelihood ratio tests, we …