The Impact of Stock, Energy and Foreign Exchange Markets on the Sugar Market

Nikolaos Sariannidis ()
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Nikolaos Sariannidis: Technological Education Institute (TEI) of West Macedonia, Department of Financial Applications, Kila 50100, Kozani, Greece

International Journal of Business and Economic Sciences Applied Research (IJBESAR), 2010, vol. 3, issue 1, 109-117

Abstract: This study examines the effect of financial factors on the sugar market by using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. The results show that changes in capital and energy markets returns have a positive impact on the mean returns of Sugar futures as opposed to changes in volatility returns of the exchange rate of the U.S. Dollar/ Yen that affect it negatively. Finally, the structural analysis of volatility with the GARCH model has shown that current volatility is more influenced by past volatility rather than by the previous day shocks.

Keywords: GARCH model; Sugar futures; Crude oil; Ethanol; Exchange rates (search for similar items in EconPapers)
JEL-codes: G15 Q13 Q14 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:tei:journl:v:3:y:2010:i:1:p:109-117

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