The volatility connectedness between agricultural commodity and agri businesses: Evidence from time-varying extended joint approach

ÇAĞLI E. Ç., EVRİM MANDACI P., Taskin D.

FINANCE RESEARCH LETTERS, cilt.52, 2023 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 52
  • Basım Tarihi: 2023
  • Doi Numarası: 10.1016/j.frl.2022.103555
  • Dergi Adı: FINANCE RESEARCH LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM
  • Dokuz Eylül Üniversitesi Adresli: Evet

Özet

This paper investigates the volatility connectedness between ten major agribusiness common stock prices and various agricultural commodity prices between August 11, 2005, and November 4, 2022. We employ the time-varying parameter vector autoregressions (TVP-VAR) extended joint connectedness framework. The results show that agribusiness stocks are net volatility transmitters, whereas agricultural commodities are net volatility receivers. The results provide significant implications for investors and policymakers concerned with commodity prices.