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Commodity Market and Financial Derivative Instruments: Is There a Cointegration
Maria Leone, Alberto Manelli, Roberta Pace
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DOI:10.17265/1548-6583/2019.04.002
Over the past decade, agricultural commodity prices underwent wild swings. Periods of high growth in 2008 were followed by periods of sudden decrease in 2009. The excessive increase in food price volatility is a subject of great interest because it has to do with the survival of mankind. Recent academic studies and policy makers have reached sharply different conclusions about the dynamics of such fluctuations. Also, some of them have indicated the main cause in speculative transactions and in the little regulation of futures markets. This paper intends to verify if there exists a co-implication between wheat futures price and some financial “speculative” variables. The results of cointegration analysis show that there is no evidence that financial derivative instruments determine the fluctuations of wheat futures price.
financial market, commodity market, speculation, GARCH model