Returns and volatility linkages in the US soybean industry: An empirical analysis across time and frequencies

Panos Fousekis () and Vasilis Grigoriadis ()

Modern Finance, 2025, vol. 3, issue 3, 133-149

Abstract: The objective of this work is to investigate the links among price returns and among (realized) price volatilities in the US soybean industry. To this end, it employs daily futures prices from 2010 to 2025 and the flexible Wavelet Local Multiple Correlation (WLMC) approach. The joint returns link among soybeans, soybean meal, and soybean oil is positive, time-varying, and frequency-dependent (i.e., asymmetric). The vertical links (those between the input and each of the two co-products of the soybean crush) tend to be stronger than the horizontal one (between soybean meal and soybean oil). The joint link for realized volatility is also positive and asymmetric. For both returns and realized volatility, the input market appears to be a recipient of shocks from the co-products markets.

Keywords: Soybean sector; returns; volatility; correlation; asymmetry (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:bdy:modfin:v:3:y:2025:i:3:p:133-149:id:355

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