Quantile coherency of futures prices in palm and soybean oil markets

Panos Fousekis ()
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Panos Fousekis: Aristotle University

Journal of Economics and Finance, 2024, vol. 48, issue 1, No 6, 129-141

Abstract: Abstract The objective of the present work is to investigate the contemporaneous price co-movement in the futures markets of soybean and palm oil. This is pursued using quantile coherency (a statistical tool that allows for both frequency- and quantile-dependent linkages between stochastic processes) and daily futures prices from 2015 to 2023. The empirical findings suggest: (a) The co-movement between palm and soybean oil prices is not very high and, at the same time, it is asymmetric; prices in the two markets are more likely to crash than to boom together. (b) The intensity of co-movement tends to increase monotonically with the time-scale considered. However, the bulk of the adjustments to shocks tend to be completed within 1 month; the differences between coherency estimates in the medium- and in the long-run are rather small. (c) Price co-movement appears to be driven by both pure (short-run) contagion as well as by fundamental-based (long-run) contagion.

Keywords: Price co-movement; Quantile-dependent; Frequency-dependent; Palm and soybean oil; Asymmetry (search for similar items in EconPapers)
JEL-codes: C12 G14 Q11 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s12197-023-09647-6

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