Daily price and volatility behaviour in soybean oil market
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.

Online publication date: Mon, 07-Mar-2011

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