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Returns and volatility linkages in the US soybean industry: An empirical analysis across time and frequencies

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  • Panos Fousekis

  • Vasilis Grigoriadis

Abstract

The objective of this work is to investigate the links among price returns and among (realized) price volatilities in the US soybean industry. To this end, it employs daily futures prices from 2010 to 2025 and the flexible Wavelet Local Multiple Correlation (WLMC) approach. The joint returns link among soybeans, soybean meal, and soybean oil is positive, time-varying, and frequency-dependent (i.e., asymmetric). The vertical links (those between the input and each of the two co-products of the soybean crush) tend to be stronger than the horizontal one (between soybean meal and soybean oil). The joint link for realized volatility is also positive and asymmetric. For both returns and realized volatility, the input market appears to be a recipient of shocks from the co-products markets.

Suggested Citation

  • Panos Fousekis & Vasilis Grigoriadis, 2025. "Returns and volatility linkages in the US soybean industry: An empirical analysis across time and frequencies," Modern Finance, Modern Finance Institute, vol. 3(3), pages 133-149.
    • Handle: RePEc:bdy:modfin:v:3:y:2025:i:3:p:133-149:id:355
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    References listed on IDEAS

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    1. Martin K. Beutler & B. Wade Brorsen, 1985. "Lead-lag relationships of soybean complex cash prices," Agribusiness, John Wiley & Sons, Ltd., vol. 1(3), pages 237-241.
    2. Asche, Frank & Gjolberg, Ole & Volker, Teresa, 2003. "Price relationships in the petroleum market: an analysis of crude oil and refined product prices," Energy Economics, Elsevier, vol. 25(3), pages 289-301, May.
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