Work

On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets

Year: 2018

Type: article

Abstract: Addressing the volatility spillovers of agricultural commodities is important for at least two reasons. First, for the last several years, the volatility of agricultural commodity prices seems to have increased. Second, according to the Food and Agriculture Organization, there is a strong need for understanding the potential (negative) impacts on food security caused by food commodity volatilities. This paper aims at investigating the presence, the size, and the persistence of volatility spillovers among five agricultural commodities (corn, sugar, wheat, soybean, and bioethanol) and five Latin American (Argentina, Brazil, Chile, Colombia, Peru) stock market indexes. Overall, when a negative shock hits the commodity market, Latin American stock market volatility tends to increase. This happens, for instance, for the relationships from corn to Chile and Colombia and from wheat to Peru and Chile.

Source: Risks

DOI: 10.3390/risks6040116

Authors: Vincenzo Candila, Salvatore Farace

Institution: University of Salerno

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Zero hunger

Open Access status: gold

Estimated APC paid: $2,172