Title: Financial determinants of corn market

Authors: Nikolaos Sariannidis

Addresses: Department of Financial Applications, Technological Education Institute (TEI), West Macedonia, Kila, 50100, Kozani, Greece

Abstract: This paper studies the effects of the TNX ten-year treasury note, the crude oil light sweet, the denatured fuel ethanol, the S&P 500 Stock Index and the US dollar/yen exchange rate on the conditional mean and variance return of corn futures. It employs daily data from January 1, 2002 to August 31, 2009. Using the GJR-GARCH(1, 1) model, we provide empirical evidence of positive influence of bond, energy and capital market on corn market. There is also evidence that the volatility shocks of the US dollar/yen exchange rate have a positive impact on the conditional volatility of corn futures returns. Finally, the structural analysis of volatility with the GJR-GARCH model has shown that current volatility is more influenced by past volatility rather than by the previous day shocks.

Keywords: GJR-GARCH model; general autoregressive conditional heteroskedastic; Lawrence Glosten; Ravi Jagannathan; David Runkle; corn futures; bonds; ethanol; exchange rates; financial determinants; corn markets; TNX; ten-year treasury note; United States; USA; denatured fuels; light sweet crude oil; S&P 500; capitalisation-weighted indices; Standard & Poor's; public companies; stock exchanges; US dollar; Japanese yen; Japan; conditional mean; variance return; daily data; bond markets; energy markets; capital markets; volatility shocks; conditional volatility; structural analysis; current volatility; past volatility; previous day shocks; economics; business research.

DOI: 10.1504/IJEBR.2013.051898

International Journal of Economics and Business Research, 2013 Vol.5 No.2, pp.204 - 213

Received: 08 May 2021
Accepted: 12 May 2021

Published online: 10 Jan 2013 *

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