The dynamic dependence between the major US indices and the meat commodities indices

Abdelkader Derbali and Houssam Bouzgarrou

PSU Research Review, 2020, vol. 4, issue 2, 149-168

Abstract: Purpose - The purpose of this study is to examine empirically the conditional correlation between the major US indices (S&P500 index and Dow Jones Industrial index) and three selected meat commodities as: Feeder Cattle, Leen Hogs and Live Cattle during the period from July 22, 2010 to June 30, 2017. Design/methodology/approach - In this study, the authors use for the first time the GARCH-DECO (1,1) to examine empirically the conditional nexus between the major US indices (S&P500 index and Dow Jones Industrial index) and three selected meat commodities as; Feeder Cattle, Leen Hogs and Live Cattle during the period from July 22, 2010 to June 30, 2017. Findings - From the empirical findings, the authors conclude the existence of a highly significance of conditional heteroscedasticity parameters can demonstrate us to distinguish the nature of the volatility dependency between S&P500 index and Dow Jones Industrial index and three selected meat commodities indices. Originality/value - This can find clear the significance of relationship in the process of financialization of the major US index and meat commodities indices in the case of this paper.

Keywords: Financialization; Deco-garch; Dynamic dependence; Meat commodities; US indices (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eme:prrpps:prr-09-2018-0027

DOI: 10.1108/PRR-09-2018-0027

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