A Study of Volatility Spillover Effects of Soybeans Futures between Chicago Board of Trade and South African Futures Exchange Markets
Date Issued
2015
Date
2015
Author(s)
Ginindza, StoicBhekie
Abstract
Abstract Volatility spill-over is the amount of volatility that spills over from an international market to a local market. The study of volatility spillovers provides useful insights, as a form of price discovery, into how information is transmitted from one agriculture commodity exchange market to the other exchange market and vice versa. This paper explores volatility spillovers of Soybean Futures Contract Prices between the Chicago Board of Trade and South African Futures Exchange markets. The objective of the study was to examine the relationship and volatility spillovers of soybean futures prices between SAFEX and CBOT by demonstrating the return and volatility spillover effects between the two markets. The period under study is from December 2005 to April 2015. This task was accomplished by applying the, the Granger Causality Test and the diagonal BEKK-GARCH and TGARCH models, within an autoregressive framework. The results indicate that there exists a volatility spillover between the two markets. The findings suggest that there is a bidirectional volatility spillover between the Chicago Board of Trade and South African Futures Exchange market. The results of significant bidirectional volatility spillover suggest that there is an information flow (transmission) between these two markets and both these markets are integrated with each other. Accordingly, Soybean Futures market participants can obtain more insights in the management of their international portfolio affected by these two variables. This should be particularly important to domestic as well as international investors for hedging and diversifying their portfolios.
Subjects
Volatility Spillover
CBOT
SAFEX
TGARCH
Soybean Futures
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-104-R02627032-1.pdf
Size
23.54 KB
Format
Adobe PDF
Checksum
(MD5):5f2aead7e5a1a8421145a3156d490d82