文章基本信息

标题：Lead Lag Relationships Between Resource Prices and Corresponding Resource Company Share Prices
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作者：Stevenson, Alan ; Boyd, Milton
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2001
出版社：Food Distribution Research Society
摘要：The purpose of this study is to examine the lead lag relationships between resource prices and corresponding resource company share prices. It is hypothesized that as a resource price changes, the share price should also change for a corresponding company producing the resource. However, price changes and price transmission between the two markets may have lag periods. Lags may occur due to factors such as transaction costs, taxes, information arriving in large doses, market imperfections, and market trends. Granger causality tests are used to determine lead lag relationships and direction of causality. The main industries examined are grains, oil, lumber, gold, silver, and copper. Approximately 50 company share prices are included.
关键词：resource prices;price transmission;lead lag realtionships;and Granger Causality