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Price and Volatility Transmission in International Wheat Futures

  • 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)

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.

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Article provided by Society for AEF in its journal Annals of Economics and Finance.

Volume (Year): 4 (2003)
Issue (Month): 1 (May)
Pages: 37-50

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Handle: RePEc:cuf:journl:y:2003:v:4:i:1:p:37-50
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