The volatility connectedness between agricultural commodity and agri businesses: Evidence from time-varying extended joint approach
Finance Research Letters, ISSN: 1544-6123, Vol: 52, Page: 103555
2023
- 17Citations
- 26Captures
- 1Mentions
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Findings from Dokuz Eylul University Has Provided New Data on Investment (The Volatility Connectedness Between Agricultural Commodity and Agri Businesses: Evidence From Time-varying Extended Joint Approach)
2023 MAR 30 (NewsRx) -- By a News Reporter-Staff News Editor at Agriculture Daily -- Data detailed on Investment have been presented. According to news
Article Description
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.
Bibliographic Details
http://www.sciencedirect.com/science/article/pii/S1544612322007310; http://dx.doi.org/10.1016/j.frl.2022.103555; http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=85144030447&origin=inward; https://linkinghub.elsevier.com/retrieve/pii/S1544612322007310; https://dx.doi.org/10.1016/j.frl.2022.103555
Elsevier BV
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