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The Impact of Stock, Energy and Foreign Exchange Markets on the Sugar Market

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  • Nikolaos Sariannidis

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

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    Abstract

    This study examines the effect of financial factors on the sugar market by using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. The results show that changes in capital and energy markets returns have a positive impact on the mean returns of Sugar futures as opposed to changes in volatility returns of the exchange rate of the U.S. Dollar/ Yen that affect it negatively. Finally, the structural analysis of volatility with the GARCH model has shown that current volatility is more influenced by past volatility rather than by the previous day shocks.

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    File URL: http://www.ijesar.org/docs/volume3_issue1/sugar_market.pdf
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    File URL: http://www.ijesar.org/volume3_issue1.php
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    Bibliographic Info

    Article provided by Technological Educational Institute (TEI) of Kavala, Greece in its journal International Journal of Economic Sciences and Applied Research (IJESAR).

    Volume (Year): 3 (2010)
    Issue (Month): 1 (July)
    Pages: 109-117

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    Handle: RePEc:tei:journl:v:3:y:2010:i:1:p:109-117

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    Related research

    Keywords: GARCH model; Sugar futures; Crude oil; Ethanol; Exchange rates;

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    Cited by:
    1. Algieri, Bernardina, 2014. "The influence of biofuels, economic and financial factors on daily returns of commodity futures prices," Discussion Papers 164963, University of Bonn, Center for Development Research (ZEF).
    2. Ekaterina Dorodnykh, 2013. "What Drives Stock Exchange Integration?," International Journal of Economic Sciences and Applied Research (IJESAR), Technological Educational Institute (TEI) of Kavala, Greece, vol. 6(2), pages 47-79, September.

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