Testing for spatial market integration and law of one price in Turkish wheat markets


ERYİĞİT K. Y. , Karaman S.

QUALITY & QUANTITY, vol.45, no.6, pp.1519-1530, 2011 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 45 Issue: 6
  • Publication Date: 2011
  • Doi Number: 10.1007/s11135-010-9320-1
  • Journal Name: QUALITY & QUANTITY
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.1519-1530
  • Bursa Uludag University Affiliated: Yes

Abstract

This paper examines co-integration models in testing for spatial market integration and the Law of One Price (LOP) for Turkish wheat market. The multivariate co-integration tests show that there is one co-integrating vector in the system which implies that though the markets are integrated, the LOP does not hold. Vector error correction model restrictions tests also show that structural breaks have impacts on the long-run linkage among the prices. These results are important for wheat production policies and for wheat market liberalization considerations in the future.