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, vol.52, 2023 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 52
  • Publication Date: 2023
  • Doi Number: 10.1016/j.frl.2022.103555
  • Journal Name: FINANCE RESEARCH LETTERS
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM
  • Dokuz Eylül University Affiliated: Yes

Abstract

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.