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The Price Linkage of Commodity Futures in Japan : Analysis of Tokyo Commodity Exchange and Tokyo Grain Exchange (小澤健二教授・高津斌彰教授・西澤輝泰教授・林英機教授・平木俊一教授退職記念号)
http://hdl.handle.net/10191/5150
http://hdl.handle.net/10191/51505c60a62d-9831-4276-965c-b8eb026c2905
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
4_0015.pdf (531.3 kB)
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| Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2008-04-08 | |||||
| タイトル | ||||||
| タイトル | The Price Linkage of Commodity Futures in Japan : Analysis of Tokyo Commodity Exchange and Tokyo Grain Exchange (小澤健二教授・高津斌彰教授・西澤輝泰教授・林英機教授・平木俊一教授退職記念号) | |||||
| タイトル | ||||||
| タイトル | The Price Linkage of Commodity Futures in Japan : Analysis of Tokyo Commodity Exchange and Tokyo Grain Exchange (小澤健二教授・高津斌彰教授・西澤輝泰教授・林英機教授・平木俊一教授退職記念号) | |||||
| 言語 | en | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Price Linkage of Commodity Futures | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Cointegration | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Granger Causality | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_6501 | |||||
| タイプ | departmental bulletin paper | |||||
| 著者 |
Ito, Takayasu
× Ito, Takayasu |
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| 著者別名 | ||||||
| 識別子Scheme | WEKO | |||||
| 識別子 | 158709 | |||||
| 姓名 | 伊藤, 隆康 | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | The purpose of this paper is to investigate the price linkage of commodity futures contracts on TCE (gold, silver, platinum and rubber) and on TGE (corn, soybean, raw sugar, and red bean) by using non-stationary time series models. As for TCE, I found no cointegration relationship among four contracts. I also found no cointegration relationship for each pair of four contracts. I can conclude that no price linkage among the futures contracts on TCE. I found Granger causality from gold to silver and platinum on TCE. Thus I can assume that gold gave some influences on the prices of silver and platinum, but silver and platinum gave no influences on the price of gold. The metal futures such as gold, silver and platinum gave no impact on rubber and rubber gave no influence on metal futures. As for TGE, I also found no cointegration relationship among four contracts. On the other hand, I found cointegration relationship between corn and soybean, corn and red bean, red bean and raw sugar, red bean and soybean. I can conclude that no price linkage exists among four contracts on TGE, but price linkage exists between corn and soybean, corn and red bean, red bean and raw sugar, red bean and soybean. I found no Granger causality among the contracts on TGE. | |||||
| 書誌情報 |
新潟大学経済論集 en : 新潟大学経済論集 巻 82, p. 69-81, 発行日 2007-03 |
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| 出版者 | ||||||
| 出版者 | 新潟大学経済学会 | |||||
| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 02861569 | |||||
| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AN00183269 | |||||
| 著者版フラグ | ||||||
| 値 | publisher | |||||
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Cite as
Ito, Takayasu, 2007, The Price Linkage of Commodity Futures in Japan : Analysis of Tokyo Commodity Exchange and Tokyo Grain Exchange (小澤健二教授・高津斌彰教授・西澤輝泰教授・林英機教授・平木俊一教授退職記念号): 新潟大学経済学会, 69–81 p.
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