Jumah, Adusei; Karbuz, Sohbet; Runstler, Gerhard - In: Applied Financial Economics 9 (1999) 1, pp. 101-108
Tests for the efficiency of commodity arbitrage typically fail to find cointegration relationships between spot and futures prices and between markets. The reported study investigates the issue for spot and futures prices of cocoa on New York and London markets by means of the Johansen maximum...