Stock,Energy and Currency Effects on the Asymmetric Wheat Market |
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Authors: | Nikolaos Sariannidis |
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Institution: | (1) Department of Financial Applications, Technological Education Institute of West Macedonia, Kila, 50100 Kozani, Greece |
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Abstract: | The purpose of this paper is to explore the effects of financial and currency indicators on wheat futures prices. The results
suggest that the stock market, and particularly the S&P 500, positively influence the wheat market, a fact that is attributed
to the wealth effect and the modern portfolio management in the context of international markets’ integration. There is also
evidence that the energy markets affecting the supply and demand side exert significant impact on the wheat market. Furthermore,
the results show that the shocks of the U.S. dollar/yen exchange rate are transmitted to the wheat market. Finally, the structural
analysis of wheat prices’ volatility support the hypothesis of the asymmetric conditional variance, as it appears to be more
volatile in response to positive shocks caused by higher wheat prices, contrary to the respective results of the equities
market. |
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Keywords: | |
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