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- W1999403663 abstract "The study uses the concept of cointegration to examine long-run relationships between futures (and spot) prices of cocoa and coffee on the New York CSCE and London Fox. The study is also an attempt to analyze price trends of related commodities on the same and different commodity exchanges. Our empirical results show that in general, the prices of these commodities tend to move together in the long run. The study also proves that empirical evidence can be used to support the assumption that commodity prices are perfectly arbitraged in international markets over a long period of time. © 1995 by John Wiley & Sons, Inc." @default.
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- W1999403663 date "1995-05-01" @default.
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- W1999403663 title "Cointegration and commodity arbitrage" @default.
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- W1999403663 doi "https://doi.org/10.1002/1520-6297(199505/06)11:3<235::aid-agr2720110305>3.0.co;2-p" @default.
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