✦ LIBER ✦

Interdependencies between agricultural commodity futures prices on the LIFFE

✍ Scribed by P. J. Dawson; B. White

Publisher: John Wiley and Sons
Year: 2002
Tongue: English
Weight: 126 KB
Volume: 22
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.2217

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

Interdependencies between commodity prices can arise from the impact of changing macroeconomic variables, from
complementarities or substitutabilities between commodities, or from common responses by speculators. Malliaris
and Urrutia (1996) found significant linkages between rollover prices of six related agricultural
commodities on the Chicago Board of Trade. This article examines interdependencies between futures prices for soft
commodities traded on the London International Financial Futures Exchange (LIFFE), calculated using
Clark indices. Results show that there are no interdependencies between any two prices; price discovery of
one contract provides no information about others. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:
269–280, 2002

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