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Original Articles

Linkages among agricultural commodity futures prices: evidence from Tokyo

Pages 311-313 | Published online: 06 Oct 2010
 

Abstract

This paper investigates alternative explanations of long-term comovements among the prices of agricultural commodity futures contracts. A long-term interdependency of these prices can exist because of common economic fundamentals or herd behaviour by market participants. An analysis of Tokyo Grain Exchange futures prices supports the common economic fundamentals hypothesis.

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