Threshold Adjustment in Spot-Futures Metals Price

David Gordon McMillan

doi:10.1080/1744654042000335912

Threshold Adjustment in Spot-Futures Metals Price

David Gordon McMillan

Research output: Contribution to journal › Article › peer-review

Abstract

Using a threshold-error-correction model for non-ferrous metals spot-futures prices the study reports evidence that equilibrium adjustment is quicker when the futures price exceeds the spot price. This supports the view that the commodities consumption value leads investors to retain the asset even when overpriced.

Original language	English
Pages (from-to)	5-8
Journal	Applied Financial Economics Letters
Volume	1
Issue number	1
DOIs	https://doi.org/10.1080/1744654042000335912
Publication status	Published - 2005

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title = "Threshold Adjustment in Spot-Futures Metals Price",

abstract = "Using a threshold-error-correction model for non-ferrous metals spot-futures prices the study reports evidence that equilibrium adjustment is quicker when the futures price exceeds the spot price. This supports the view that the commodities consumption value leads investors to retain the asset even when overpriced.",

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Threshold Adjustment in Spot-Futures Metals Price

Abstract

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