EconPapers    
Economics at your fingertips  
 

News surprises and volatility spillover among agricultural commodities: The case of corn, wheat, soybean and soybean oil

Hassan Hamadi, Charbel Bassil () and Tamara Nehme

Research in International Business and Finance, 2017, vol. 41, issue C, 148-157

Abstract: This paper focuses on commodity financialization and examines the level of interdependence across major agricultural commodities. Specifically, we test the level of interdependence across corn, wheat, soybeans and soybean oil in terms of return volatility spillover. We further investigate the impact of macroeconomic announcements and news on the measurement of integration among these commodities. We apply a combination of econometric tools – the ICSS, GARCH(1,1) and 3SLS models and incorporate structural breaks – to measure the instantaneous and delayed volatility spillovers among these agricultural commodities. We find significant evidence of bidirectional volatility spillovers; particularly, there is more spillover from soybeans and soybean oil markets to corn and wheat markets, than the inverse. In addition, a news surprise originating in the economy has strong impact on the variance of agricultural commodities.

Keywords: Return volatility spillover; Agricultural commodity integration; Portfolio diversification; Structural breaks; GARCH; Structural equations (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531916302306
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:41:y:2017:i:c:p:148-157

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-05-17
Handle: RePEc:eee:riibaf:v:41:y:2017:i:c:p:148-157