Assessing volatility spillover effect between international milk powder and China’s raw milk markets in the context of import growth

Wang, Qianqian; Cheng, Rongzhu; Xu, Wangfang

doi:10.1080/23311932.2023.2253715

Cited by 1 publication

(1 citation statement)

References 36 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…It is noteworthy that the prices of agricultural products have increased significantly over the last decades. The dairy products sector is particularly sensitive, where stable and uninterrupted production is important in order to ensure the quality of the dairy products (Wang et al, 2023), so special attention is paid to risk management, especially price risk and hedging opportunities (Białkowski & Koeman, 2018;Fernandez-Perez et al, 2022), given that there is little correlation between the volatility of dairy products and the commodities market as a whole (Fan et al, 2023).…”

Section: Introductionmentioning

confidence: 99%

The impact of financial speculation on futures contracts price movements: A study of the US markets for dairy commodities

Staugaitis,

Christauskas

2023

View full text Add to dashboard Cite

Research background: The study analyzes whether financial speculation destabilizes commodity prices in light of recent price volatility and spikes in agricultural commodities. The study delves deeper into the US dairy futures markets, which are less studied by other authors in their research and relatively new in comparison to other agricultural commodity markets. These dairy commodity futures contracts provide dairy businesses and farmers the chance to hedge against price risks, which are particularly crucial in uncertain economic times such as the post-2020 COVID-19 pandemic timeframe. The analysis makes use of the weekly returns on futures contracts for nonfat milk powder, butter, milk class III, and cheese that are obtained from the Chicago Mercantile Exchange (CME). Purpose of the article: Conduct an empirical study to evaluate the effect of financial speculation on dairy product prices on US commodity markets, including the post-2020 timeframe. Methods: Time series analysis is used in the investigation: the generalized auto-regressive conditional heteroskedasticity (GARCH) method, the Granger causality test, and the Augmented Dickey-Fuller (ADF) test. Findings & value added: Our analysis's findings show that, even though most commodities experienced an increase in return volatility during the post-2020 period, there is no evidence for financial speculation being the cause of increased returns from dairy futures contracts. The research also suggests that financial speculation, in some cases, even lowers the volatility of dairy futures prices. Therefore, non-commercial market participants may help to distribute price risks, making these markets more liquid.

show abstract

Section: Introductionmentioning

confidence: 99%

The impact of financial speculation on futures contracts price movements: A study of the US markets for dairy commodities

Staugaitis,

Christauskas

2023

View full text Add to dashboard Cite

show abstract

Assessing volatility spillover effect between international milk powder and China’s raw milk markets in the context of import growth

Cited by 1 publication

References 36 publications

The impact of financial speculation on futures contracts price movements: A study of the US markets for dairy commodities

The impact of financial speculation on futures contracts price movements: A study of the US markets for dairy commodities

Contact Info

Product

Resources

About