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Cointegration and commodity arbitrage

Karbuz, Sohbet ; Jumah, Adusei

Agribusiness (New York, N.Y.), 1995-05, Vol.11 (3), p.235-243 [Periódico revisado por pares]

New York: Wiley Subscription Services, Inc., A Wiley Company

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Título:
Cointegration and commodity arbitrage
Autor: Karbuz, Sohbet ; Jumah, Adusei
Assuntos: Agricultural commodities ; analisis estadistico ; analyse statistique ; Arbitrage ; cafe ; Cocoa ; cocoa beans ; Coffee ; comercio ; commerce ; Commodities ; Commodity markets ; Commodity prices ; Comparative analysis ; differential pricing ; economic theories ; Equilibrium ; etats unis ; eua ; feve de cacao ; Futures market ; futures trading ; Integration ; International markets ; marche a terme ; marche des produits de base ; market prices ; mercados de productos basicos ; operaciones a plazo ; precio diferencial ; precios de mercado ; Prices ; prix de marche ; Purchasing power parity ; reino unido ; royaume uni ; semilla de cacao ; statistical analysis ; Studies ; tarif differentiel ; tendance ; tendencias ; teorias economicas ; theorie economique ; Time series ; trade ; trends ; united kingdom ; usa ; Variables
É parte de: Agribusiness (New York, N.Y.), 1995-05, Vol.11 (3), p.235-243
Notas: E
E70
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Descrição: The study uses the concept of cointegration to examine long-run relationships between futures (and spot) prices of cocoa and coffee on the New York CSCE and London Fox. The study is also an attempt to analyze price trends of related commodities on the same and different commodity exchanges. Our empirical results show that in general, the prices of these commodities tend to move together in the long run. The study also proves that empirical evidence can be used to support the assumption that commodity prices are perfectly arbitraged in international markets over a long period of time.
Editor: New York: Wiley Subscription Services, Inc., A Wiley Company
Idioma: Inglês

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Cointegration and commodity arbitrage

Karbuz, Sohbet ; Jumah, Adusei

New York: Wiley Subscription Services, Inc., A Wiley Company

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