Testing for cointegration between the New York and London futures markets for coffee /
an active event. The price spread between the New York and
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| Format: | Thesis eBook |
| Language: | English |
| Published: |
[Place of publication not identified] :
[publisher not identified] ;
1997.
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| Subjects: | |
| Online Access: | Link to OAKTrust copy |
| Summary: | an active event. The price spread between the New York and Arbitrage between the New York and London futures markets is between two or more series. The process of testing for both of the data series were tested for stationarity. The coffee falls short, the premium between the two markets cointegrating relationship, arbitrage opportunities exist. cointegration between the New York and London coffee futures Cointegration signifies a long-term equilibrium relationship cointegration was performed. Usually, if two markets have a comparatively more of the New York coffee, driving its price considered for the New York market, and the error correction correction model and the vector autoregression model were data were transformed to induce stationarity. The second expected demands and supplies, as well as long run factors, London futures markets, is affected by factors concerning the long run the premium widens, as exporters will purchase market. The New York futures price for coffee is the premium model forecasts outperformed the vector autoregression model. narrows and this allows for arbitrage possibilities. In the New York and London coffee futures markets, a test for occur, two forecasts models were developed. The error- present. To determine when the arbitrage opportunities price and this reflects both short run differences in prices involved two steps. The first is to determine stationarity and the second is to test for cointegration. step is to test for cointegration, and this was performed such as tastes and preferences. If the supply of London supply and demand of each commodity and the world coffee These tests concluded that a cointegration relationship is To determine whether or not arbitrage is possible between the up and therefore returning the premium to its usual level. Using the Dickey-Fuller and Augmented Dickey-Fuller tests, using the Durbin-Watson test and the Dickey-Fuller test. |
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| Item Description: | "Major subject: Agricultural Economics". Vita. |
| Physical Description: | ix, 57 leaves : illustrations ; 28 cm. Also available online. Issued also on microfiche from Lange Micrographics. |
| Bibliography: | Includes bibliographical references: pages 47-49. |