 Extreme connectedness of agri-commodities with stock markets and its determinantsSyed Billah, Faruk Balli and Indrit Hoxha () Global Finance Journal, 2023, vol. 56, issue C Abstract: In this paper, we quantify the extreme connectedness between agricultural commodity prices with food and beverage stock market returns. We find that the connectedness of returns relies on the degree of the inverse shock, as suggested by the larger impact of the anticipated shock on the upper and lower tails than the estimated shock on the conditional mean. Additionally, the dynamics of the connectedness of returns monitored in the tail differ from the conditional mean. These two outcomes recommend that using conditional averages is limited and imprecise to analyze returns connected with extreme positive/negative events in agricultural commodities and food & beverage indices. Next, we find the determinants of the extent of the connectedness by employing firm level statistics. We find that some of the determinants driving the return spillovers at upper and lower quantiles are quite different from those driving the return spillovers at the middle quantile. Keywords: Agricultural commodity prices; Food and beverage stock market returns; Quantile connectedness; Extreme market conditions (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:56:y:2023:i:c:s1044028323000194 DOI: 10.1016/j.gfj.2023.100824 Access Statistics for this article Global Finance Journal is currently edited by Manuchehr Shahrokhi More articles in Global Finance Journal from Elsevier |
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