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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), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 3(1), pages 109-117, July.
    • Handle: RePEc:tei:journl:v:3:y:2010:i:1:p:109-117
    as

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    File URL: https://ijbesar.af.duth.gr/docs/volume3_issue1/sugar_market.pdf
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    File URL: https://ijbesar.af.duth.gr/volume3_issue1.php
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    References listed on IDEAS

    as
    1. Huan-Niemi, Ellen & Kerkela, Leena, 2005. "Reform in the EU Sugar Regime: Impact on the Global Sugar Markets," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24733, European Association of Agricultural Economists.
    2. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    Full references (including those not matched with items on IDEAS)

    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), Democritus University of Thrace (DUTH), Kavala Campus, 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," Energy Policy, Elsevier, vol. 69(C), pages 227-247.
    3. Ekaterina Dorodnykh, 2013. "What Drives Stock Exchange Integration?," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 6(2), pages 47-79, September.

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    More about this item

    Keywords

    GARCH model; Sugar futures; Crude oil; Ethanol; Exchange rates;
    All these keywords.

    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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