The impact of trading activity on volatility transmission and interdependence among agricultural commodity markets

© 2014 by the Mathematical Association of Thailand. All rights reserved. This paper aims at studying the volatility and dependence structure among the main agricultural commodity markets. It also investigates the impact of the trading activity of agricultural commodities and the ethanol listing on t...

Full description

Saved in:
Bibliographic Details
Main Authors: Phattanan Boonyanuphong, Songsak Sriboonchitta
Format: Journal
Published: 2018
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907230114&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/45503
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Chiang Mai University
id th-cmuir.6653943832-45503
record_format dspace
spelling th-cmuir.6653943832-455032018-01-24T06:11:24Z The impact of trading activity on volatility transmission and interdependence among agricultural commodity markets Phattanan Boonyanuphong Songsak Sriboonchitta Phattanan Boonyanuphong © 2014 by the Mathematical Association of Thailand. All rights reserved. This paper aims at studying the volatility and dependence structure among the main agricultural commodity markets. It also investigates the impact of the trading activity of agricultural commodities and the ethanol listing on the volatility transmission for the corn, soybean, and wheat markets. The C– and D–vine copula based GARCH model was used to explain the interdependence of corn, soybean, and wheat prices. We discovered that the listing of ethanol and the trading activity had an impact on the price volatility of corn, soybean, and wheat. The results support the argument that the roles of financialization and of the biofuel increase volatility in the agricultural commodity markets. Moreover, the dependencies between the corn and the wheat returns, and between the corn and the soybean returns have significant variability over time and have higher variations of dependence with symmetrical tail dependences. The higher dynamic dependence and symmetric tail dependence indicate that opportunities to use the related agricultural commodities for portfolio diversification are reduced, particularly during a downturn in the markets. 2018-01-24T06:11:24Z 2018-01-24T06:11:24Z 2014-01-01 Journal 16860209 2-s2.0-84907230114 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907230114&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/45503
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description © 2014 by the Mathematical Association of Thailand. All rights reserved. This paper aims at studying the volatility and dependence structure among the main agricultural commodity markets. It also investigates the impact of the trading activity of agricultural commodities and the ethanol listing on the volatility transmission for the corn, soybean, and wheat markets. The C– and D–vine copula based GARCH model was used to explain the interdependence of corn, soybean, and wheat prices. We discovered that the listing of ethanol and the trading activity had an impact on the price volatility of corn, soybean, and wheat. The results support the argument that the roles of financialization and of the biofuel increase volatility in the agricultural commodity markets. Moreover, the dependencies between the corn and the wheat returns, and between the corn and the soybean returns have significant variability over time and have higher variations of dependence with symmetrical tail dependences. The higher dynamic dependence and symmetric tail dependence indicate that opportunities to use the related agricultural commodities for portfolio diversification are reduced, particularly during a downturn in the markets.
format Journal
author Phattanan Boonyanuphong
Songsak Sriboonchitta
Phattanan Boonyanuphong
spellingShingle Phattanan Boonyanuphong
Songsak Sriboonchitta
Phattanan Boonyanuphong
The impact of trading activity on volatility transmission and interdependence among agricultural commodity markets
author_facet Phattanan Boonyanuphong
Songsak Sriboonchitta
Phattanan Boonyanuphong
author_sort Phattanan Boonyanuphong
title The impact of trading activity on volatility transmission and interdependence among agricultural commodity markets
title_short The impact of trading activity on volatility transmission and interdependence among agricultural commodity markets
title_full The impact of trading activity on volatility transmission and interdependence among agricultural commodity markets
title_fullStr The impact of trading activity on volatility transmission and interdependence among agricultural commodity markets
title_full_unstemmed The impact of trading activity on volatility transmission and interdependence among agricultural commodity markets
title_sort impact of trading activity on volatility transmission and interdependence among agricultural commodity markets
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907230114&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/45503
_version_ 1681422757489803264