Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/114886
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dc.titleTerm structure of futures prices and expected mean reversion in base metal prices
dc.contributor.authorWang, C.
dc.date.accessioned2014-12-12T07:04:27Z
dc.date.available2014-12-12T07:04:27Z
dc.date.issued2004
dc.identifier.citationWang, C. (2004). Term structure of futures prices and expected mean reversion in base metal prices. Investment Management and Financial Innovations 1 (4) : 8-15. ScholarBank@NUS Repository.
dc.identifier.issn18104967
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/114886
dc.description.abstractWe examine expected mean reversion in six base metal prices using a unique LME dataset consisting of prices for futures contracts with maturity dates spanning from 1 to 27 months. We document significant evidence of mean reversion in spot prices for all these metals, although the magnitude of mean reversion differs across these markets. We also find that mean reversion in metal prices arises from a positive covariation between spot prices and implied cash flow yields rather from a negative correlation between spot prices and forward interest rates. © Publishing Company Business Perspectives All rights reserved.
dc.sourceScopus
dc.subjectBase metals
dc.subjectCost-of-carry
dc.subjectLME
dc.subjectMean reversion
dc.typeArticle
dc.contributor.departmentFINANCE & ACCOUNTING
dc.description.sourcetitleInvestment Management and Financial Innovations
dc.description.volume1
dc.description.issue4
dc.description.page8-15
dc.identifier.isiutNOT_IN_WOS
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