Tests on price linkage between the U.S. and Japanese gold and silver futures markets

Kentaka Aruga, Shunsuke Managi

Research output: Contribution to journalArticle

7 Citations (Scopus)

Abstract

We tested the price linkage, the law of one price (LOP) condition, and the causality of the price linkage between the U.S. and Japanese gold and silver futures markets with consideration of structural breaks in the price series. The LOP condition did not hold for both the gold and silver markets when structural breaks were not considered but it sustained in some periods when it was tested for the break periods. We found from the causality test that the price linkage between the U.S. and Japanese gold and silver futures markets were led by the U.S. market.

Original languageEnglish
Pages (from-to)1038-1046
Number of pages9
JournalEconomics Bulletin
Volume31
Issue number2
Publication statusPublished - Jul 5 2011
Externally publishedYes

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Futures markets
Linkage
Structural breaks
Law of one price
Causality test
Causality

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance(all)

Cite this

Tests on price linkage between the U.S. and Japanese gold and silver futures markets. / Aruga, Kentaka; Managi, Shunsuke.

In: Economics Bulletin, Vol. 31, No. 2, 05.07.2011, p. 1038-1046.

Research output: Contribution to journalArticle

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