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Stock markets’ bubbles burst and volatility spillovers in agricultural commodity markets

Citations

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Cited by:

  1. Massimo Peri, 2017. "Climate variability and the volatility of global maize and soybean prices," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 9(4), pages 673-683, August.
  2. Julyerme M. Tonin & Carlos M. R. Vieira & Rui M. de Sousa Fragoso & João G. Martines Filho, 2020. "Conditional correlation and volatility between spot and futures markets for soybean and corn," Agribusiness, John Wiley & Sons, Ltd., vol. 36(4), pages 707-724, October.
  3. Zhu, Xuehong & Chen, Ying & Chen, Jinyu, 2021. "Effects of non-ferrous metal prices and uncertainty on industry stock market under different market conditions," Resources Policy, Elsevier, vol. 73(C).
  4. Zhuo Chen & Bo Yan & Hanwen Kang, 2023. "Price bubbles of agricultural commodities: evidence from China’s futures market," Empirical Economics, Springer, vol. 64(1), pages 195-222, January.
  5. Dejan Živkov & Jovan Njegić & Marko Pećanac, 2019. "Multiscale interdependence between the major agricultural commodities," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(2), pages 82-92.
  6. Akyildirim, Erdinc & Cepni, Oguzhan & Pham, Linh & Uddin, Gazi Salah, 2022. "How connected is the agricultural commodity market to the news-based investor sentiment?," Energy Economics, Elsevier, vol. 113(C).
  7. Abhishek Yadav, 2024. "A Comparative Study of Time Series, Machine Learning, and Deep Learning Models for Forecasting Global Price of Wheat," SN Operations Research Forum, Springer, vol. 5(4), pages 1-24, December.
  8. Agyei, Samuel Kwaku & Umar, Zaghum & Bossman, Ahmed & Teplova, Tamara, 2023. "Dynamic connectedness between global commodity sectors, news sentiment, and sub-Saharan African equities," Emerging Markets Review, Elsevier, vol. 56(C).
  9. Dejan Živkov & Jasmina Đurašković & Marina Gajić‐Glamočlija, 2022. "Multiscale downside risk interdependence between the major agricultural commodities," Agribusiness, John Wiley & Sons, Ltd., vol. 38(4), pages 990-1011, October.
  10. Zhang, Weiping & Zhuang, Xintian & Lu, Yang, 2020. "Spatial spillover effects and risk contagion around G20 stock markets based on volatility network," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  11. Chen, Yanan & Qi, Haozhi, 2024. "Dynamic interplay between Chinese energy, renewable energy stocks, and commodity markets: Time-frequency causality study," Renewable Energy, Elsevier, vol. 228(C).
  12. Adeel Riaz & Assad Ullah & Li Xingong, 2024. "Does trade policy uncertainty in China and USA matter for key financial markets?," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-30, April.
  13. Felipe de Oliveira & Sinézio Fernandes Maia & Diego Pita de Jesus, 2017. "Which information matters to Market risk spreading in Brazil? Volatility transmission modeling using MGARH-BEKK, DCC, t-COPULAS," EcoMod2017 10378, EcoMod.
  14. Guhathakurta, Kousik & Dash, Saumya Ranjan & Maitra, Debasish, 2020. "Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications," Energy Economics, Elsevier, vol. 85(C).
  15. Eray Gemici & Muslum Polat & Remzi Gök & Muhammad Asif Khan & Mohammed Arshad Khan & Yunus Kilic, 2023. "Do Bubbles in the Bitcoin Market Impact Stock Markets? Evidence From 10 Major Stock Markets," SAGE Open, , vol. 13(2), pages 21582440231, June.
  16. de Oliveira, Felipe A. & Maia, Sinézio F. & de Jesus, Diego P. & Besarria, Cássio da N., 2018. "Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 83-100.
  17. Xiaochun Liu, 2018. "Structural Volatility Impulse Response Function and Asymptotic Inference," Journal of Financial Econometrics, Oxford University Press, vol. 16(2), pages 316-339.
  18. Śmiech, Sławomir & Papież, Monika & Fijorek, Kamil & Dąbrowski, Marek A., 2019. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-32.
  19. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022. "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, vol. 79(C).
  20. de Souza Ramser, Claudia Aline & Souza, Adriano Mendonça & Souza, Francisca Mendonça & da Veiga, Claudimar Pereira & da Silva, Wesley Vieira, 2019. "The importance of principal components in studying mineral prices using vector autoregressive models: Evidence from the Brazilian economy," Resources Policy, Elsevier, vol. 62(C), pages 9-21.
  21. Xuan Tu & David Leatham, 2025. "From Fields to Finance: Dynamic Connectedness and Optimal Portfolio Strategies Among Agricultural Commodities, Oil, and Stock Markets," IJFS, MDPI, vol. 13(3), pages 1-30, August.
  22. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
  23. Fasanya, Ismail O. & Adekoya, Oluwasegun & Sonola, Ridwan, 2023. "Forecasting stock prices with commodity prices: New evidence from Feasible Quasi Generalized Least Squares (FQGLS) with non-linearities," Economic Systems, Elsevier, vol. 47(2).
  24. Jung-Bin Su & Jui-Cheng Hung, 2018. "The Value-At-Risk Estimate of Stock and Currency-Stock Portfolios’ Returns," Risks, MDPI, vol. 6(4), pages 1-42, November.
  25. Elena Claire Ricci & Massimo Peri & Lucia Baldi, 2019. "The Effects of Agricultural Price Instability on Vertical Price Transmission: A Study of the Wheat Chain in Italy," Agriculture, MDPI, vol. 9(2), pages 1-14, February.
  26. Zhang, Weiping & Zhuang, Xintian & Lu, Yang & Wang, Jian, 2020. "Spatial linkage of volatility spillovers and its explanation across G20 stock markets: A network framework," International Review of Financial Analysis, Elsevier, vol. 71(C).
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