Stock, Energy and Currency Effects on the Asymmetric Wheat Market

Nikolaos Sariannidis ()

International Advances in Economic Research, 2011, vol. 17, issue 2, 192 pages

Abstract: The purpose of this paper is to explore the effects of financial and currency indicators on wheat futures prices. The results suggest that the stock market, and particularly the S&P 500, positively influence the wheat market, a fact that is attributed to the wealth effect and the modern portfolio management in the context of international markets’ integration. There is also evidence that the energy markets affecting the supply and demand side exert significant impact on the wheat market. Furthermore, the results show that the shocks of the U.S. dollar/yen exchange rate are transmitted to the wheat market. Finally, the structural analysis of wheat prices’ volatility support the hypothesis of the asymmetric conditional variance, as it appears to be more volatile in response to positive shocks caused by higher wheat prices, contrary to the respective results of the equities market. Copyright International Atlantic Economic Society 2011

Keywords: GJR-GARCH model; Wheat futures; Crude oil; Ethanol; Exchange rates; F39; G10; G15 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s11294-011-9298-z

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