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

Kentaka Aruga, Shunsuke Managi

研究成果: ジャーナルへの寄稿学術誌査読

9 被引用数 (Scopus)

抄録

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.

本文言語英語
ページ(範囲)1038-1046
ページ数9
ジャーナルEconomics Bulletin
31
2
出版ステータス出版済み - 2011
外部発表はい

!!!All Science Journal Classification (ASJC) codes

  • 経済学、計量経済学および金融学(全般)

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