Title: Volatility transmissions between commodity futures contracts in short, medium and long term

Authors: Mathias Schneid Tessmann; Régis Augusto Ely; Mário Duarte Canever

Addresses: School of Management, Economics and Business, IDP, SGAN 706, 49, Asa Sul, Brazil ' Organizations and Markets Post Graduate Program, UFPel, Gomes Carneiro, 1 – Center, Pelotas, Rio Grande do Sul, Brazil ' Organizations and Markets Post Graduate Program, UFPel, Gomes Carneiro, 1 – Center, Pelotas, Rio Grande do Sul, Brazil

Abstract: This article investigates the relationship between agricultural and energy commodity markets by measuring the volatility transmissions between future contracts through a spillover index that can be partitioned into different frequency bands. We use data from Chicago Mercantile Exchange and the Intercontinental Exchange of New York from March 3, 2000 to May 4, 2017, including ten different commodities. We show that volatility transmissions increased after the 2006-2008 food crisis, but has fallen after 2013. Around 74.4% of the volatility in those markets is transmitted from one to four days since the shock has occurred. Corn, wheat and soybeans are the main transmitters and receivers of volatility, while oil is significantly more important than natural gas in terms of price volatility transmissions.

Keywords: volatility transmission; commodities; futures markets; energy assets; agricultural assets; corn; rice; coffee; oil; wheat; soybeans; natural gas; sugar; oats.

DOI: 10.1504/IJFMD.2021.113870

International Journal of Financial Markets and Derivatives, 2021 Vol.8 No.1, pp.79 - 99

Received: 23 Jun 2020
Accepted: 21 Sep 2020
Published online: 31 Mar 2021 *

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