Unit Root, Cointegration, Causality Tests, and Price Forecasting Cocoa Cash and Futures Prices  

Oleh:

Djunaidi, Harjanto ; Tilley, Daniel S. ; Brorsen, B. Wade

Jenis: Article from Bulletin/Magazine
Dalam koleksi: Jurnal Manajemen Prasetiya Mulya vol. III no. 6 (1996), page 44-51.
Topik: FORECASTING; unit root; cointegration; causality tests; price forecasting; futures prices

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ10.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

An alternative approach to determining causality between price vectors is presented and applied to cocoa cash and futures prices. Past studies of future markets have used granger causality to determine the lead - lag relatonship betwen cash and futures prices. Past studies found that futures prices lead cash prices. Past studies did not consider the possibility that cash and futures price series may not be cointegration. The long - run relationhsip adn the direction of causality among daily cocoa cash and futures prices is determined. The augmented dickey - fuller test is used to determine the existence of unit roots of the cocoa spot prices restricted bector autoregression and johansen's tests are used to determine whether daily cocoa cash and futures prices. The direction of causality between correction model (ECM) and in a vector autoregerssive (VAR) model. Mixed results are found. The results of the ECM and VAR models show that there is a bi - directional causality between cocoa futures and spot prices, respectively.

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