The volatility connectedness between agricultural commodity and agri businesses: Evidence from time-varying extended joint approach

Efe Cagli, Pinar Evrim Mandaci and Dilvin Taskin

Finance Research Letters, 2023, vol. 52, issue C

Abstract: This paper investigates the volatility connectedness between ten major agribusiness common stock prices and various agricultural commodity prices between August 11, 2005, and November 4, 2022. We employ the time-varying parameter vector autoregressions (TVP-VAR) extended joint connectedness framework. The results show that agribusiness stocks are net volatility transmitters, whereas agricultural commodities are net volatility receivers. The results provide significant implications for investors and policymakers concerned with commodity prices.

Keywords: Agribusinesses; Agricultural commodities; TVP-VAR model; Extended joint connectedness (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007310

DOI: 10.1016/j.frl.2022.103555

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