2009
DOI: 10.35536/lje.2009.v14.i1.a4
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Cointegration and Causality: An Application to Major Mango Markets in Pakistan

Abstract: Mangoes are one of Pakistan's most important fruits; the country is the world's fourth largest producer and exporter of mangoes. Integrated markets are those where price signals are transferred from one to another, allowing physical arbitrage to adjust any disturbances in these markets; integrated markets are thus a sign of efficiency. From this viewpoint, we investigate domestic integration among ten major mango markets, i.e., Lahore, Faisalabad, Multan, Gujranwala, Sargodha, Karachi, Hyderabad, Sukkur, Pesh… Show more

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Cited by 28 publications
(19 citation statements)
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“…In view of advances in time series analysis, several studies have examined spatial market integration using cointegration framework, which has been extensively mobilized to analyze the long-run relationships among variables, using Engle-Granger (1987) [7] and Johansen (1988) [8] approaches [9,10,11,12]. These techniques implicitly assume symmetric price adjustments in the sense that markets adjust similarly to both price increases and decreases, regardless of the nature of the shock.…”
Section: Introductionmentioning
confidence: 99%
“…In view of advances in time series analysis, several studies have examined spatial market integration using cointegration framework, which has been extensively mobilized to analyze the long-run relationships among variables, using Engle-Granger (1987) [7] and Johansen (1988) [8] approaches [9,10,11,12]. These techniques implicitly assume symmetric price adjustments in the sense that markets adjust similarly to both price increases and decreases, regardless of the nature of the shock.…”
Section: Introductionmentioning
confidence: 99%
“…The market integration can be measured in terms of strength and speed of price transmission between markets across various regions of the country (Ghafoor et al, 2009). The degree to which consumers and producers would benefit depends on how domestic markets are integrated with world markets and how different regional markets are integrated with each other (Varela et al, 2012).…”
Section: Introductionmentioning
confidence: 99%
“…After finding cointegration among different apple markets, granger causality was also estimated between the selected pairs of apple markets in India. The granger causality shows the direction of price formation between two markets and related spatial arbitrage, i.e., physical movement of the commodity to adjust the prices difference (Ghafoor et al, 2009). The results of granger causality tests are presented in Table 5 which shows that all the four F-statistics for the causality tests of wholesale prices in Delhi market on other markets are statistically significant.…”
Section: Granger Causality Testmentioning
confidence: 96%
“…However, one way to throw some light on this issue is to analyze the market performance by studying market integration (Mukhtar and Javed, 2007). This market integration can be measured in terms of the strength and speed of price transmission between markets across various regions of the country (Ghafoor et al, 2009). The degree to which consumers and producers would benefit, depends on how domestic markets are integrated with world markets and how different regional markets are integrated with each other (Varela et al, 2012).…”
Section: Introductionmentioning
confidence: 99%