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Cointegration between the structure of copper futures prices and Brexit

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dc.contributor.authorGalán Gutiérrez, Juan Antonio
dc.contributor.authorMartín García, Rodrigo
dc.date.accessioned2024-06-11T15:15:10Z
dc.date.available2024-06-11T15:15:10Z
dc.date.issued2021-06
dc.description.abstractIn 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.en
dc.description.versionversión publicada
dc.identifier.doihttps://doi.org/10.1016/j.resourpol.2021.101998
dc.identifier.issn0301-4207
dc.identifier.urihttps://hdl.handle.net/20.500.14468/22337
dc.journal.titleResources Policy
dc.journal.volume71
dc.language.isoen
dc.publisherElsevier
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsAtribución-NoComercial-SinDerivadas 4.0 Internacional
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0
dc.subject.keywordsBrexit
dc.subject.keywordsCommodities
dc.subject.keywordsStructure of copper futures prices
dc.subject.keywordsCointegration
dc.subject.keywordsContango
dc.subject.keywordsBackwardation
dc.titleCointegration between the structure of copper futures prices and Brexites
dc.typeartículoes
dc.typejournal articleen
dspace.entity.typePublication
relation.isAuthorOfPublication116c4b15-2369-4e5c-8c59-e0b7c5ac592f
relation.isAuthorOfPublication.latestForDiscovery116c4b15-2369-4e5c-8c59-e0b7c5ac592f
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