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Short-Term Speculation Effects on Agricultural Commodity Returns and Volatility in the European Market Prior to and during the Pandemic

Author

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  • Algirdas Justinas Staugaitis

    (Department of Applied Economics, Finance and Accounting, Vytautas Magnus University, K. Donelaicio Str. 58, 44248 Kaunas, Lithuania)

  • Bernardas Vaznonis

    (Department of Applied Economics, Finance and Accounting, Vytautas Magnus University, K. Donelaicio Str. 58, 44248 Kaunas, Lithuania)

Abstract
Motivated by increased agricultural commodity price volatility and surges during the past decade, we investigated whether financial speculation is to blame. The aim of this paper is to build on prior research about to what extent and in which ways financial speculation undermines agricultural commodity prices. In our analysis, we utilized the daily returns on milling wheat, corn, and soybean futures from the Euronext Commodities Paris market (MATIF) as well as the short-term speculation index. To quantify this impact, we apply Granger noncausality tests as well as the GARCH (generalized autoregressive conditional heteroskedasticity) technique. We also propose a model using seasonal dummy variables to examine whether financial speculation has a greater impact on price volatility during more volatile months. According to our results, financial speculation, as an external factor, in most cases has no effect or reduces the volatility of the underlying futures prices. The opposite is observed in the corn market, where volatility has risen in the post-2020 period and has been pushed up even more by speculation in April. However, since the influence on other commodities is limited or nonexistent, more emphasis should be focused on speculation in the European corn futures market or its interdependence with energy markets.

Suggested Citation

  • Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Short-Term Speculation Effects on Agricultural Commodity Returns and Volatility in the European Market Prior to and during the Pandemic," Agriculture, MDPI, vol. 12(5), pages 1-26, April.
    • Handle: RePEc:gam:jagris:v:12:y:2022:i:5:p:623-:d:803771
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