Abstract
A study investigates the long-run stochastic properties of informationally linked futures contracts in diverse groups such as soft commodities, grain and oilseeds, livestock, previous metals, foreign currencies, and interest rate instruments. Consistent with other research, the initial exploratory tests find that almost all futures exhibit non-stationarity, which makes it logical to use cointegrated methodology. The study contributes to the literature is several ways. First, its breadth makes it one of the most extensive studies so far in the futures markets. Second, establishment of whether different groups such as currencies and precious metals are segmented or integrated has important implications for portfolio managers who seek risk reduction through diversification or look to the futures markets for hedging purposes.
