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

Author

Listed:
  • Nikolaos Sariannidis

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

Abstract

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.

Suggested Citation

  • Nikolaos Sariannidis, 2010. "The Impact of Stock, Energy and Foreign Exchange Markets on the Sugar Market," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 3(1), pages 109-117, July.
  • Handle: RePEc:tei:journl:v:3:y:2010:i:1:p:109-117
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    File URL: http://ijbesar.teiemt.gr/docs/volume3_issue1/sugar_market.pdf
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    Citations

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    Cited by:

    1. Eleftherios Giovanis, 2014. "The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 7(3), pages 43-61, December.
    2. Algieri, Bernardina, 2014. "The influence of biofuels, economic and financial factors on daily returns of commodity futures prices," Discussion Papers 164963, University of Bonn, Center for Development Research (ZEF).
    3. Algieri, Bernardina, 2014. "The influence of biofuels, economic and financial factors on daily returns of commodity futures prices," Energy Policy, Elsevier, vol. 69(C), pages 227-247.
    4. Ekaterina Dorodnykh, 2013. "What Drives Stock Exchange Integration?," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 6(2), pages 47-79, September.

    More about this item

    Keywords

    GARCH model; Sugar futures; Crude oil; Ethanol; Exchange rates;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance

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