Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Volatility transmission in maize futures markets of major exporters

Volatility transmission in maize futures markets of major exporters The United States, Brazil, Argentina and South Africa are the largest exporters of maize. This paper examines volatility transmission in maize futures listed on SAFEX, CBOT, MATBA (Argentina) and BMF (Brazil). Four multivariate GARCH models are employed to investigate the dynamics and cross-dynamics of volatility using daily data over the period 24 November 2008 to 27 December 2018. The results confirm the existence of significant spillover effects of volatility between futures markets of the leading exporters of maize. The results also highlight that the level and magnitude of interdependence between these markets have changed over time. The findings have important implications for risk management and regulation in agricultural futures markets. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Investment Analysts Journal Taylor & Francis

Volatility transmission in maize futures markets of major exporters

Sayed, Ayesha; Auret, Christo
Investment Analysts Journal , Volume 48 (3): 15 – Jul 3, 2019
Download PDF

Volatility transmission in maize futures markets of major exporters

Sayed, Ayesha; Auret, Christo
Investment Analysts Journal , Volume 48 (3): 15 – Jul 3, 2019

Abstract

The United States, Brazil, Argentina and South Africa are the largest exporters of maize. This paper examines volatility transmission in maize futures listed on SAFEX, CBOT, MATBA (Argentina) and BMF (Brazil). Four multivariate GARCH models are employed to investigate the dynamics and cross-dynamics of volatility using daily data over the period 24 November 2008 to 27 December 2018. The results confirm the existence of significant spillover effects of volatility between futures markets of the leading exporters of maize. The results also highlight that the level and magnitude of interdependence between these markets have changed over time. The findings have important implications for risk management and regulation in agricultural futures markets.

Loading next page...
 
/lp/taylor-francis/volatility-transmission-in-maize-futures-markets-of-major-exporters-y8pRnAOpWl

References

References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.

Publisher
Taylor & Francis
Copyright
© 2019 Investment Analysts Society of South Africa
ISSN
2077-0227
eISSN
1029-3523
DOI
10.1080/10293523.2019.1626602
Publisher site
See Article on Publisher Site

Abstract

The United States, Brazil, Argentina and South Africa are the largest exporters of maize. This paper examines volatility transmission in maize futures listed on SAFEX, CBOT, MATBA (Argentina) and BMF (Brazil). Four multivariate GARCH models are employed to investigate the dynamics and cross-dynamics of volatility using daily data over the period 24 November 2008 to 27 December 2018. The results confirm the existence of significant spillover effects of volatility between futures markets of the leading exporters of maize. The results also highlight that the level and magnitude of interdependence between these markets have changed over time. The findings have important implications for risk management and regulation in agricultural futures markets.

Journal

Investment Analysts Journal – Taylor & Francis

Published: Jul 3, 2019

Keywords: volatility transmission; volatility spillover; maize futures; multivariate GARCH

References

  • An explanatory model of South African white maize futures prices
  • Generalized autoregressive conditional heteroscedasticity
  • Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model
  • International transmission on information in corn futures markets
  • The convergence of a class of double-rank minimization algorithms
  • Grain price and volatility transmission from international to domestic markets in developing countries
  • Asymmetric predictability of conditional variances
  • The effect of Brazilian corn and soybean crop expansion on price and volatility transmission
  • Autoregressive conditional heteroskedasticity with estimates of the variance of the United Kingdom inflation
  • Dynamic conditional correlation – a simple class of multivariate GARCH models
  • Multivariate simultaneous generalized ARCH
  • Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market
  • A new approach to variable metric algorithms
  • Price movements and price discovery in futures and cash markets
  • SAFEX maize price volatility scrutinized
  • The relationship between US and Canadian wheat prices
  • Food security: The challenge of feeding 9 billion people
  • A family of variable-metric updates derived by variational means
  • Price dynamics in international wheat markets
  • Mean and volatility transmission for commodity futures
  • Correlation in price changes and volatility across international stock markets
  • How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets
  • A multivariate GARCH model of international transmissions of stock returns and volatility: The case of the United States and Canada
  • Asymmetric volatility transmission in international stock markets
  • Mean and volatility spillover effects in the US and Pacifin-Basin stock markets
  • The effects of Brazilian second (winter) corn crop on prices seasonality, basis behavior and integration to international market
  • Corn and soybean production costs and export competitiveness in Argentina, Brazil and the United States
  • Factors affecting the price volatility of July futures contracts for white maize in South Africa
  • Global maize production, utilization, and consumption
  • The effectiveness of price limits in the South African white maize futures markets
  • Conditioning of quasi-newton methods for function minimization
  • The lead-lag relationship between Canadian and US wheat prices
  • Corn price behaviour-volatility transmission during the boom on futures markets
  • Cointegration and price discovery in US corn cash and futures markets
  • Asset storability and price discovery of commodity futures markets: A new look
  • Price and volatility transmission in international wheat futures markets