Price Linkages in Selected Agricultural Industrial, Financial and Foreign Exchange Futures Markets Using Daily Data

OFOR Working Paper 94-10

Posted: 13 Sep 1999

See all articles by Viswanath Tirupattur

Viswanath Tirupattur

Lincoln Investment Management, Inc.

Philip Garcia

University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics

Raymond M. Leuthold

University of Illinois @ Urbana-Champaign

Date Written: November 1994

Abstract

The study investigates price relationships and linkages among different markets using daily futures prices of corn, live hogs, crude oil, Treasury bills, and deutsche marks with two alternative time series techniques. Results suggest that price linkages consistent over time are extremely limited.

JEL Classification: G13

Suggested Citation

Tirupattur, Viswanath and Garcia, Philip and Leuthold, Raymond M., Price Linkages in Selected Agricultural Industrial, Financial and Foreign Exchange Futures Markets Using Daily Data (November 1994 ). OFOR Working Paper 94-10. Available at SSRN: https://ssrn.com/abstract=5914

Viswanath Tirupattur (Contact Author)

Lincoln Investment Management, Inc. ( email )

Gloucester GL4 3RZ
United Kingdom

Philip Garcia

University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics ( email )

1301 W. Gregory Drive
427 Mumford Hall
Urbana, IL 61801
United States
217-333-0644 (Phone)
217-333-5538 (Fax)

Raymond M. Leuthold

University of Illinois @ Urbana-Champaign ( email )

1301 W. Gregory Drive
326 Mumford Hall
Urbana, IL 61801
United States
217-333-1810 (Phone)
217-333-5538 (Fax)

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