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The volatility connectedness between agricultural commodity and agri businesses: Evidence from time-varying extended joint approach

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  • Cagli, Efe Caglar
  • Mandaci, Pinar Evrim
  • Taskin, Dilvin

Abstract

This paper investigates the volatility connectedness between ten major agribusiness common stock prices and various agricultural commodity prices between August 11, 2005, and November 4, 2022. We employ the time-varying parameter vector autoregressions (TVP-VAR) extended joint connectedness framework. The results show that agribusiness stocks are net volatility transmitters, whereas agricultural commodities are net volatility receivers. The results provide significant implications for investors and policymakers concerned with commodity prices.

Suggested Citation

  • Cagli, Efe Caglar & Mandaci, Pinar Evrim & Taskin, Dilvin, 2023. "The volatility connectedness between agricultural commodity and agri businesses: Evidence from time-varying extended joint approach," Finance Research Letters, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322007310
    DOI: 10.1016/j.frl.2022.103555
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