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Price and Volatility Transmission in International Wheat Futures

Author

Listed:
  • Jian Yang

    (Department of Accounting, Finance and Information Systems, Prairie View A&M University)

  • Jin Zhang

    (Department of Agricultural Economics, Texas A&M University)

  • David J. Leatham

    (Department of Agricultural Economics, Texas A&M University)

Abstract

This study examines futures price and volatility transmissions among three major wheat production and exporting regions, the United States (US), Canada and the European Union (EU) over the recent six-year study period of 1996 - 2002. The price transmission pattern shows that Canadian prices are much more influenced by the US prices than the US prices are influenced by Canadian prices. The EU is highly self-dependent and may exert some influence on the US prices in the long run but not vice versa. The volatility transmission pattern, however, shows that volatility is transmitted from Canada and the EU to the US but not vice versa. The volatility is also transmitted from the EU to Canada but not vice versa. Overall, there is no distinctive leadership role in international wheat markets, with all three markets exhibiting features of price leadership to some extent.

Suggested Citation

  • Jian Yang & Jin Zhang & David J. Leatham, 2003. "Price and Volatility Transmission in International Wheat Futures," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 37-50, May.
    • Handle: RePEc:cuf:journl:y:2003:v:4:i:1:p:37-50
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    5. Philipp Adämmer & Martin T. Bohl & Ernst-Oliver Ledebur, 2015. "Price Transmissions During Financialization and Turmoil: New Evidence from North American and European Agricultural Futures," CQE Working Papers 3815, Center for Quantitative Economics (CQE), University of Muenster.
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    9. Ana I. Sanjuán-López & Philip J. Dawson, 2017. "Volatility Effects of Index Trading and Spillovers on US Agricultural Futures Markets: A Multivariate GARCH Approach," Journal of Agricultural Economics, Wiley Blackwell, vol. 68(3), pages 822-838, September.
    10. Cruz, Jose Cesar Jr. & Silveira, Rodrigo L. F. & Capitani, Daniel H. D. & Urso, Fabiana S. P. & Martines, Joao G. Filho, 2016. "The effect of Brazilian corn and soybean crop expansion on price and volatility transmission," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236127, Agricultural and Applied Economics Association.
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    12. Du, Wen, 2004. "International Market Integration Under Wto: Evidence In The Price Behaviors Of Chinese And Us Wheat Futures," 2004 Annual meeting, August 1-4, Denver, CO 20115, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    13. Ge, Yuanlong & Wang, H. Holly & Ahn, Sung K., 2008. "Implication of Cotton Price Behavior on Market Integration," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37623, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
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    More about this item

    Keywords

    Price and volatility transmission; Generalized forecast error variance decomposition; Generalized impulse response analysis; Multivariate GARCH;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • L13 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Oligopoly and Other Imperfect Markets

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