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Interdependencies between agricultural commodity futures prices on the LIFFE

Lookup NU author(s): Dr Philip Dawson, Dr Benedict White

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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. (C) 2002 John Wiley Sons, Inc.

Publication metadata

Author(s): White B; Dawson PJ

Publication type: Article

Publication status: Published

Journal: Journal of Futures Markets

Year: 2002

Volume: 22

Issue: 3

Pages: 271-284

ISSN (print): 0270-7314

ISSN (electronic): 1096-9934

Publisher: John Wiley & Sons, Inc.

URL: http://dx.doi.org/10.1002/fut.2217

DOI: 10.1002/fut.2217

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