Agric. Econ. - Czech, 2015, 61(5):214-221 | DOI: 10.17221/162/2014-AGRICECON

Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range-based estimatorOriginal Paper

Giray GOZGOR1, Cahit MEMIS2
1 Economics and Finance, Dogus University, Istanbul, Turkey
2 Risk Active, Istanbul, Turkey

The paper examines the price volatility spillovers among the crude oil, soybeans, corn, wheat, and sugar futures markets over the period 1/1/2006-11/29/2013. We separately investigate the periods of the pre-crisis, the crisis, and the post-crisis in financial markets. We use the Yang-Zhang estimators for the historical volatility and find that there is a volatility sprawl from the crude oil to corn markets. There is also bi-directional causality between the corn and soybeans markets. In addition, we observe significant volatility spillovers from both the soybeans and the corn markets to the wheat markets. The results are also valid in a different sub-period analysis.

Keywords: agricultural commodity market, financial crisis of 2008-2009, futures markets, historical price volatility, intra-day data

Published: May 31, 2015  Show citation

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GOZGOR G, MEMIS C. Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range-based estimator. Agric. Econ. - Czech. 2015;61(5):214-221. doi: 10.17221/162/2014-AGRICECON.
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