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Financial determinants of corn market

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  • Nikolaos Sariannidis

Abstract

This paper studies the effects of the TNX ten-year treasury note, the crude oil light sweet, the denatured fuel ethanol, the S%P 500 Stock Index and the US dollar/yen exchange rate on the conditional mean and variance return of corn futures. It employs daily data from January 1, 2002 to August 31, 2009. Using the GJR-GARCH(1, 1) model, we provide empirical evidence of positive influence of bond, energy and capital market on corn market. There is also evidence that the volatility shocks of the US dollar/yen exchange rate have a positive impact on the conditional volatility of corn futures returns. Finally, the structural analysis of volatility with the GJR-GARCH model has shown that current volatility is more influenced by past volatility rather than by the previous day shocks.

Suggested Citation

  • Nikolaos Sariannidis, 2013. "Financial determinants of corn market," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 5(2), pages 204-213.
    • Handle: RePEc:ids:ijecbr:v:5:y:2013:i:2:p:204-213
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