Cointegration between the structure of copper futures prices and Brexit

Galán Gutiérrez, Juan Antonio y Martín García, Rodrigo . (2021) Cointegration between the structure of copper futures prices and Brexit. Resources Policy, 71, 101998

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Título Cointegration between the structure of copper futures prices and Brexit
Autor(es) Galán Gutiérrez, Juan Antonio
Martín García, Rodrigo
Materia(s) Economía
Abstract In copper futures trading, ‘contango’ (or ‘forwardation’) is the condition in which the futures price enjoys a premium over the spot price on the London Metal Exchange at the close of the second ring and ‘backwardation’ the contrary. That spread or difference between the two prices is affected by fundamentals such as supply and demand as well as by political, social, environmental and macroeconomic risks, hereafter grouped under the term ‘financialisation factors’. Based on analysis of variations in the BUKHI50P stock index that monitors the impact of Brexit on UK companies, this study shows that in the context of a market shortage, Brexit-related macroeconomics and their effect on local companies are cointegrated with the structure of copper futures prices. Guidelines are also provided for traders on when to short- and when to long-sell to capitalise on the structure of copper futures prices under simultaneous market shortage and adverse macroeconomic circumstances.
Palabras clave Brexit
commodities
structure of copper futures prices
cointegration
contango
backwardation
Editor(es) Elsevier
Fecha 2021-01-15
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Rmartin-0001
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Rmartin-0001
DOI - identifier https://doi.org/10.1016/j.resourpol.2021.101998
ISSN - identifier 0301-4207
Nombre de la revista Resources Policy
Número de Volumen 71
Número de Issue 101998
Publicado en la Revista Resources Policy, 71, 101998
Idioma eng
Versión de la publicación acceptedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by-nc-nd/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales Este es el manuscrito aceptado del artículo publicado por Elsevier en "Resources Policy" el 1-6-2021, disponible en línea: https://doi.org/10.1016/j.resourpol.2021.101998

 
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Creado: Thu, 02 Sep 2021, 21:13:46 CET