A key determinant of commodity price Co-movement: The role of daily market liquidity
Sign Up to like & getrecommendations! Published in 2019 at "Economic Modelling"
DOI: 10.1016/j.econmod.2019.01.004
Abstract: Abstract Daily price co-movement across different commodity classes and its key determinant are investigated in this paper. Using co-integration and Granger causality analysis, we identify a common liquidity factor which drives prices of five commodities… read more here.
Keywords: key determinant; price; commodity; price movement ... See more keywords