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

Author

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  • Giray GOZGOR

    (Economics and Finance, Dogus University, Istanbul, Turkey)

  • Cahit MEMIS

    (Risk Active, Istanbul, Turkey)

Abstract

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.

Suggested Citation

  • Giray GOZGOR & Cahit MEMIS, 2015. "Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range-based estimator," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 61(5), pages 214-221.
    • Handle: RePEc:caa:jnlage:v:61:y:2015:i:5:id:162-2014-agricecon
    DOI: 10.17221/162/2014-AGRICECON
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    2. Dejan Živkov & Boris Kuzman & Jonel Subić, 2020. "What Bayesian quantiles can tell about volatility transmission between the major agricultural futures?," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 66(5), pages 215-225.

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