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The Impact of Stock, Energy and Foreign Exchange Markets on the Sugar Market

  • Nikolaos Sariannidis

    ()

    (Technological Education Institute (TEI) of West Macedonia, Department of Financial Applications, Kila 50100, Kozani, Greece)

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    This study examines the effect of financial factors on the sugar market by using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. The results show that changes in capital and energy markets returns have a positive impact on the mean returns of Sugar futures as opposed to changes in volatility returns of the exchange rate of the U.S. Dollar/ Yen that affect it negatively. Finally, the structural analysis of volatility with the GARCH model has shown that current volatility is more influenced by past volatility rather than by the previous day shocks.

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    File URL: http://ijbesar.teiemt.gr/docs/volume3_issue1/sugar_market.pdf
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    File URL: http://ijbesar.teiemt.gr/volume3_issue1.php
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    Article provided by Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece in its journal International Journal of Economic Sciences and Applied Research (IJESAR).

    Volume (Year): 3 (2010)
    Issue (Month): 1 (July)
    Pages: 109-117

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    Handle: RePEc:tei:journl:v:3:y:2010:i:1:p:109-117
    Contact details of provider: Web page: http://ijbesar.teiemt.gr/

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