Aruga, Kentaka and Managi, Shunsuke (2011): Price Linkages in the Copper Futures, Primary, and Scrap Markets. Published in: Resources, Conservation and Recycling , Vol. 56, (31. August 2011): pp. 43-47.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Price Linkages in the Copper Futures, Primary, and Scrap Markets|
|Keywords:||futures market; copper scrap; brass scrap; cointegration; causality|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
L - Industrial Organization > L6 - Industry Studies: Manufacturing > L61 - Metals and Metal Products; Cement; Glass; Ceramics
|Depositing User:||Kentaka Aruga|
|Date Deposited:||20. Jan 2012 13:31|
|Last Modified:||15. Feb 2013 21:14|
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