Joint multifractality in cross-correlations between grains & oilseeds indices and external uncertainties

Ying-Hui Shao, Xing-Lu Gao, Yan-Hong Yang () and Wei-Xing Zhou
Additional contact information
Ying-Hui Shao: Shanghai University of International Business and Economics
Xing-Lu Gao: East China University of Science and Technology
Yan-Hong Yang: Shanghai University

Financial Innovation, 2025, vol. 11, issue 1, 1-32

Abstract: Abstract This study investigates the relationships between agricultural spot markets and external uncertainties through multifractal detrending moving-average cross-correlation analysis (MF-X-DMA). The dataset contains the Grains & Oilseeds Index (GOI) and its five subindices for wheat, maize, soyabeans, rice, and barley. Moreover, we use three uncertainty proxies, namely, economic policy uncertainty (EPU), geopolitical risk (GPR), and Volatility Index (VIX). We observe multifractal cross-correlations between agricultural markets and uncertainties. Furthermore, statistical tests reveal that maize has intrinsic joint multifractality with all the uncertainty proxies, highly sensitive to external shocks. Additionally, intrinsic multifractality among GOI-GPR, wheat-GPR, and soyabeans-VIX is illustrated. However, other series have apparent multifractal cross-correlations with high probabilities. Moreover, our analysis suggests that among the three types of external uncertainties, GPR has the strongest association with grain prices, excluding maize and soyabeans.

Keywords: Agricultural market; Uncertainty; MF-X-DMA; Multifractal cross-correlation; Statistical test (search for similar items in EconPapers)
Date: 2025
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1186/s40854-024-00669-5 Abstract (text/html)

Related works:
Working Paper: Joint multifractality in the cross-correlations between grains \& oilseeds indices and external uncertainties (2024)
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:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00669-5

Ordering information: This journal article can be ordered from
http://www.springer. ... nomics/journal/40589

DOI: 10.1186/s40854-024-00669-5

Access Statistics for this article

Financial Innovation is currently edited by J. Leon Zhao and Zongyi

More articles in Financial Innovation from Springer, Southwestern University of Finance and Economics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().