Daily price and volatility behaviour in soybean oil market Online publication date: Fri, 27-Feb-2015
by Nikolaos Sariannidis
International Journal of Society Systems Science (IJSSS), Vol. 3, No. 1/2, 2011
Abstract: Volatility in agricultural futures markets is an important research area and has been a cause for concern among governments, traders, producers, and consumers. The purpose of this article is to investigate the financial and currency sources of price and volatility distortion of soybean oil future prices, using a GJR-GARCH model. The crucial element of the study is the inclusion of currency, energy and financial explanatory factors in the proposed specification. The results suggested that, in the context of internationalisation and integration of the financial markets and portfolio diversification strategies, the stock market, and particularly the S&P 500 influence positively the soybean oil market. There is also evidence that the energy markets exert positive impact on the soybean oil market. Also, we found that the interaction of shocks between bond and currency markets exert significant positive spill-over effect on the volatility of the soybean market.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Society Systems Science (IJSSS):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com
Our Blog 
Follow us on Twitter 
Visit us on Facebook