All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Kentaka Aruga and Shunsuke Managi
 
''Tests on price linkage between the U.S. and Japanese gold and silver futures markets''
( 2011, Vol. 31 No.2 )
 
 
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.
 
 
Keywords: gold futures market, silver futures market, cointegration, law of one price, causality test
JEL:
L1 - Market Structure, Firm Strategy, and Market Performance: General
 
Manuscript Received : Feb 28 2011 Manuscript Accepted : Apr 06 2011

  This abstract has been downloaded 303 times                The Full PDF of this paper has been downloaded 87724 times