Has Futures Trading Affected the Volatility of Aluminium Transactions Prices?
Author InfoIsabel Figuerola-Ferretti (Queen Mary, University of London) Christopher L. Gilbert (Vrije Universiteit Amsterdam) Abstract We consider how aluminium transactions prices have been affected by the development of futures trading in aluminium. Using a series for transactions prices constructed from a trade journal, we establish that both this series and the exchange cash price may be regarded as error-ridden measures of the same latent variables. Furthermore, the error associated with the exchange price has declined over time. Tests provide weak evidence for a modest increase in volatility in the post-producer pricing period, but a VAR model suggests that this may be accounted for by the rapidly decaying “frothiness” of the exchange price, now increasingly reflected in transactions prices. Download InfoTo download: If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format
