Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets. The present study aims to conceal this gap by investigating the volatility cross effects...

Effective risk management is an important aspect of farming. Risk management involves choosing among alternatives that reduce the financial effects of the uncertainties of weather, yields, prices, government policies, and other factors that can cause wide swings in farm income. To deal with...

In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among...

This paper studies the effect of new gold derivatives products, including Gold-D and Gold Online Futures, on the futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric and asymmetric GARCH family models, namely: GARCH (1,1),...

This article investigates price transmission mechanism and volatility impact between Chinese cornstarch futures market and relevant markets through Johansen cointegration test, VEC model and GARCH model. The empirical results indicated that the Chinese cornstarch futures price could guide...

Most previous studies reject the basic tenet of the Masters Hypothesis that the influx of financial index investments has pressured agricultural futures prices upwards substantially. However, the impact of index investment activities may be more complicated and nuanced than can be detected by...

This paper examines the relationship between trading activity and returns volatility in white maize futures listed on the South African Futures Exchange (SAFEX) and investigates the impact of speculative activity on volatility. Returns volatility is estimated using a GARCH (1,1) model. Trading...