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Stock, Energy and Currency Effects on the Asymmetric Wheat Market

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Abstract

The purpose of this paper is to explore the effects of financial and currency indicators on wheat futures prices. The results suggest that the stock market, and particularly the S&P 500, positively influence the wheat market, a fact that is attributed to the wealth effect and the modern portfolio management in the context of international markets’ integration. There is also evidence that the energy markets affecting the supply and demand side exert significant impact on the wheat market. Furthermore, the results show that the shocks of the U.S. dollar/yen exchange rate are transmitted to the wheat market. Finally, the structural analysis of wheat prices’ volatility support the hypothesis of the asymmetric conditional variance, as it appears to be more volatile in response to positive shocks caused by higher wheat prices, contrary to the respective results of the equities market.

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Notes

  1. The Food and Agriculture Organization of the United Nations (FAO) (2009) “Food Outlook—December 2009”

  2. The investors can simply open just one account, from which transactions can be carried out with financial instruments on completely different markets—Commodity market, securities (Stocks/Shares), or Forex (currency market).

  3. According to FAO (Food and Agriculture Organization of the United Nations) and IEA (International Energy Agency) more than 85% of the global production of biofuels is in the form of ethanol.

  4. According to the Food and Agriculture Organization (FAO), food security is achieved when all people, at all times, have physical and economic access to sufficient, safe, and nutritious food to meet their dietary needs and food preferences for an active and healthy life.

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  1. Department of Financial Applications, Technological Education Institute of West Macedonia, Kila, 50100, Kozani, Greece

    Nikolaos Sariannidis

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  1. Nikolaos Sariannidis
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Correspondence to Nikolaos Sariannidis.

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Sariannidis, N. Stock, Energy and Currency Effects on the Asymmetric Wheat Market. Int Adv Econ Res 17, 181–192 (2011). https://doi.org/10.1007/s11294-011-9298-z

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