Existence of price comovement and the law of one price for Japanese timber products

Abstract

The law of one price has been revealed widely in foreign timber markets. In this study, we investigate its existence for Japanese timber products including logs and lumber. Unit root test, co-integration test, and Wald test are performed for thirteen sets of monthly data from January 1974 to May 2001. Our analysis shows that (1) the results of co-integration test support the comovement between prices, (2) the same market between sugi and. hemlock for similar use, and the low connectibility between hinoki and others.