A Hybrid Approach to Explore the Risk Dependency Structure among Agribusiness Firms

Zhimei Lei, Kuo-Jui Wu, Li Cui and Ming K Lim
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Zhimei Lei: Faculty of Management and Economics, Dalian University of Technology, Dalian 116024, China
Kuo-Jui Wu: School of Business, Dalian University of Technology, Panjin 124221, China
Li Cui: School of Business, Dalian University of Technology, Panjin 124221, China
Ming K Lim: College of Mechanical Engineering, Chongqing University, Chongqing 400044, China

Sustainability, 2018, vol. 10, issue 2, 1-17

Abstract: Although the risk management of agricultural firms is important, studies on the extreme risk dependence among agribusiness firms are minimal due to the diversity and complexity of the risks faced by agricultural firms. In this study, we developed a hybrid approach to analyse and uncover the potential risk dependence among agricultural firms. We examined thirty-two agricultural companies to study their dependence structure for risk losses. Three primary findings emerged. First, risk dependence is strong with an average value of 0.96. Second, the dependence structure is hierarchical and includes two network communities. Third, some key agricultural firms were identified in the dependence structure. These key firms are critical for the transmission of negative impacts across agricultural firms. Correspondingly, we suggest measures and strategies (such as improving the level of technological innovation and joint risk resistance capability) to reduce the impact of risk dependence.

Keywords: risk losses; dependence structure; copula; minimum spanning trees; agribusiness (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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