Uwagi o działaniu prawa jednej ceny na Londyńskiej Giełdzie Metali

• Authors: Marta Chylińska

Title variants

EN

Does the law of one price apply to copper at the London Metal Exchange?

• Languages of publication: PL

Abstracts

EN

This paper reports the results of testing for validity of the law of one price with respect to copper at the London Metal Exchange. In doing so a cost-of-carry model is estimated and validated on monthly sampled data exhibiting its spot and 3, 15 and 27-month futures prices from the period January 1998−December 2011. The main findings include that the spot and futures prices exhibit common stochastic trends and their log spreads have cointegraiting properties. Since the structure of the latter is autoregressive they reflect time-varying liquidity (risk) premium.

Keywords

EN

law of one price; cost-of-carry; cointegration; London Metal Exchange

• Publisher: Uniwersytet Ekonomiczny we Wrocławiu. Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Econometrics. Ekonometria. Advances in Applied Data Analytics
• Year: 2013
• Issue: 4(42)
• Pages: 130-139

Contributors

author

Marta Chylińska

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