SAFEX maize price volatility scrutinised
Commodity prices in general are known to have a high volatility. This is in fact what attracts speculators. The South African futures exchange (SAFEX) is not immune to this volatility. Volatility increases the risk of paying higher prices for a specific commodity, and it also makes the use of derivative instruments to hedge against price risk more expensive. Given the importance of South Africa as a regional supplier of maize and price discovery mechanism, investigations into the volatility of the maize price are not only important, but also indispensable if all parties involved are to manage this risk. The question therefore is whether the SAFEX maize price volatility can be explained by using fundamental factors or whether this volatility is unexplainably high.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
- Szego, Giorgio, 2002. "Measures of risk," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1253-1272, July.
- Louis Eeckhoudt & Harris Schlesinger, 2005.
"Putting Risk in its Proper Place,"
CESifo Working Paper Series
1462, CESifo Group Munich.
- EECKHOUDT, Louis & SCHLESINGER, Harris, "undated". "Putting risk in its proper place," CORE Discussion Papers RP 1871, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- L. Eeckhoudt & H. Schlesinger, 2006. "Putting risk in its proper place," Post-Print hal-00283170, HAL.
- Anderson, Kym & Martin, William J. & Valenzuela, Ernesto, 2006.
"The Relative Importance of Global Agricultural Subsidies and Market Access,"
2006 Annual meeting, July 23-26, Long Beach, CA
21180, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Anderson, Kym & Martin, Will & Valenzuela, Ernesto, 2006. "The relative importance of global agricultural subsidies and market access," World Trade Review, Cambridge University Press, vol. 5(03), pages 357-376, November.
- Anderson, Kym & Martin, Will & Valenzuela, Ernesto, 2006. "The Relative Importance of Global Agricultural Subsidies and Market Access," CEPR Discussion Papers 5569, C.E.P.R. Discussion Papers.
- Anderson, Kym & Martin, Will & Valenzuela, Ernesto, 2006. "The relative importance of global agricultural subsidies and market access," Policy Research Working Paper Series 3900, The World Bank.
- Koray, Faik & Lastrapes, William D, 1989. "Real Exchange Rate Volatility and U.S. Bilateral Trade: A VAR Approach," The Review of Economics and Statistics, MIT Press, vol. 71(4), pages 708-712, November.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Klein, Michael W., 1990. "Sectoral effects of exchange rate volatility on United States exports," Journal of International Money and Finance, Elsevier, vol. 9(3), pages 299-308, September.
- Cohen, Benjamin H, 1999. "Derivatives, Volatility and Price Discovery," International Finance, Wiley Blackwell, vol. 2(2), pages 167-202, July.
- Kroner, Kenneth F. & Kneafsey, Devin P. & Claessens, Stijn & DEC, 1993. "Forecasting volatility in commodity markets," Policy Research Working Paper Series 1226, The World Bank.
When requesting a correction, please mention this item's handle: RePEc:ags:agreko:8009. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.