Cointegration tests of the unbiased expectations hypothesis in metals markets

Krehbiel, Tim; Adkins, Lee C.

doi:10.1002/fut.3990130704

Cited by 48 publications

(40 citation statements)

References 18 publications

(31 reference statements)

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“…This technique is also applied to foreign exchnnse fuMes prices in Lien and Luo (1993), interest rates futures in Fung and Leung (1993) and Fung and Lo (1993), oil futures in Crowder and Hamed (1993) and metal futures in Krehbiel and Adkins (1993).…”

Section: Hedge Ratios With Colntegratlonmentioning

confidence: 99%

M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets

Yang

2001

SSRN Journal

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Section: Hedge Ratios With Colntegratlonmentioning

confidence: 99%

M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets

Yang

2001

SSRN Journal

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“…Indeed, this latter procedure has led to the rapid growth in applications to various financial markets, with Chowdhury (1991), Lai and Lai (1991), Schroeder and Goodwin (1991), and Krehbiel and Adkins (1993) representing a small sample of such research. With respect to petroleum futures, Serletis and Banack (1990), for example, provide evidence that spot prices for crude oil, heating oil, and unleaded gasoline are cointegrated with their respective futures prices, but they do not explicitly test the joint restrictions implied by the unbiasedness hypothesis.…”

Section: Introductionmentioning

confidence: 99%

Linear dependence, nonlinear dependence and petroleum futures market efficiency

Fujihara¹,

Mougoué

1997

J. Fut. Mark.

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“…However, most of these studies are either testing the efficiency of the futures market or examining the spatial linkages among the copper futures markets of different regions. Xin et al (2006) test the efficiency for the Chinese copper and aluminum futures markets, while Krehbiel and Adkins (1993) Understanding the inter-linkages of copper futures, primary, and scrap markets will be helpful in determining the price discovery process for the market participants of the copper markets. Furthermore, it will provide valuable information for policy makers to develop plans to improve the utilization of the copper scrap market.…”

Section: Introductionmentioning

confidence: 99%

Price linkages in the copper futures, primary, and scrap markets

Aruga

Managi

2011

Resources, Conservation and Recycling

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This study investigates how markets for different levels of copper purity are interrelated by testing the long-run price linkage and causalities among the copper futures, primary, copper scrap, and brass scrap markets. It is expected that copper markets that deal with high purity levels, such as the futures, primary, and copper scrap markets, have a long-run relationship. However, brass scrap markets where copper with a lower purity is traded may not have a price linkage with other copper markets. The results reveal that a long-run relationship holds between the futures, primary, and copper scrap markets but the brass scrap market does not have a long-run relationship with the other markets.From the short-run and long-run causality tests, we determine that the futures market plays an important role in transmitting price information to other copper markets while such information flow is not found for the brass scrap market.

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Cointegration tests of the unbiased expectations hypothesis in metals markets

Cited by 48 publications

References 18 publications

M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets

M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets

Linear dependence, nonlinear dependence and petroleum futures market efficiency

Price linkages in the copper futures, primary, and scrap markets

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