Law of One Price in International Commodity Markets: A Fractional Cointegration Analysis
- Mohanty, Samarendu
- Smith, Darnell B.
- Peterson, E. Wesley F.
- Meyers, William H.
Publication date
April 2017
DOIAbstract
This paper examine the Law of One Price (LOP) in the International Commodity markets using a fractional cointegration analysis. Out of nine pairs of price series examined, fractional cointegration supports the existence of the LOP in eight cases as compared to three cases as in standard cointegration process
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