Dynamic correlation between selected cereals traded in commodity exchange market in AP Vojvodina
This paper investigates the level of pairwise dynamic correlations between prices of four agricultural commodities - corn, wheat soybean and barley that are traded in Novi Sad commodity exchange market. We use DCC-GARCH model, which is specially designed for this type or research. The results of the...
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| Format: | Article |
| Language: | English |
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Naučno društvo agrarnih ekonomista Balkana, Beograd; Institut za ekonomiku poljoprivrede, Beograd i Akademija ekonomskih nauka, Bukurešt
2022-01-01
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| Series: | Ekonomika Poljoprivrede (1979) |
| Subjects: | |
| Online Access: | https://scindeks-clanci.ceon.rs/data/pdf/0352-3462/2022/0352-34622202395Q.pdf |
| _version_ | 1817969487328051200 |
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| author | Živkov Dejan Stankov Biljana Roganović Milijana Momčilović Mirela |
| author_facet | Živkov Dejan Stankov Biljana Roganović Milijana Momčilović Mirela |
| author_sort | Živkov Dejan |
| collection | DOAJ |
| description | This paper investigates the level of pairwise dynamic correlations between prices of four agricultural commodities - corn, wheat soybean and barley that are traded in Novi Sad commodity exchange market. We use DCC-GARCH model, which is specially designed for this type or research. The results of the estimated dynamic conditional correlations show that low and positive correlation exist between all the pairs of the selected agricultural commodities, where the highest correlation is recorded between wheat and barley (24%), corn-barley pair follows (20%), while all other dynamic correlations are below 20%. The results indicate that price movements of the selected agricultural cereals are independent, which means that price discovery of one agricultural commodity does not provide information about the price of another agricultural commodity. Therefore, our results strongly suggest that traders in this market do not rely on the price co-movements between particular agricultural assets when they plan their selling or buying strategies, but to analyze fundamental macroeconomic factors. |
| first_indexed | 2024-04-13T20:22:52Z |
| format | Article |
| id | doaj.art-3eca85c051c849c3852d51c59284125a |
| institution | Directory Open Access Journal |
| issn | 0352-3462 2334-8453 |
| language | English |
| last_indexed | 2024-04-13T20:22:52Z |
| publishDate | 2022-01-01 |
| publisher | Naučno društvo agrarnih ekonomista Balkana, Beograd; Institut za ekonomiku poljoprivrede, Beograd i Akademija ekonomskih nauka, Bukurešt |
| record_format | Article |
| series | Ekonomika Poljoprivrede (1979) |
| spelling | doaj.art-3eca85c051c849c3852d51c59284125a2022-12-22T02:31:30ZengNaučno društvo agrarnih ekonomista Balkana, Beograd; Institut za ekonomiku poljoprivrede, Beograd i Akademija ekonomskih nauka, BukureštEkonomika Poljoprivrede (1979)0352-34622334-84532022-01-0169239541010.5937/ekoPolj2202395Z0352-34622202395QDynamic correlation between selected cereals traded in commodity exchange market in AP VojvodinaŽivkov Dejan0https://orcid.org/0000-0003-2357-3250Stankov Biljana1https://orcid.org/0000-0001-8773-4143Roganović Milijana2https://orcid.org/0000-0002-8476-7086Momčilović Mirela3https://orcid.org/0000-0001-5752-6992Novi Sad School of Business, Novi Sad, SerbiaNovi Sad School of Business, Novi Sad, SerbiaNovi Sad School of Business, Novi Sad, SerbiaNovi Sad School of Business, Novi Sad, SerbiaThis paper investigates the level of pairwise dynamic correlations between prices of four agricultural commodities - corn, wheat soybean and barley that are traded in Novi Sad commodity exchange market. We use DCC-GARCH model, which is specially designed for this type or research. The results of the estimated dynamic conditional correlations show that low and positive correlation exist between all the pairs of the selected agricultural commodities, where the highest correlation is recorded between wheat and barley (24%), corn-barley pair follows (20%), while all other dynamic correlations are below 20%. The results indicate that price movements of the selected agricultural cereals are independent, which means that price discovery of one agricultural commodity does not provide information about the price of another agricultural commodity. Therefore, our results strongly suggest that traders in this market do not rely on the price co-movements between particular agricultural assets when they plan their selling or buying strategies, but to analyze fundamental macroeconomic factors.https://scindeks-clanci.ceon.rs/data/pdf/0352-3462/2022/0352-34622202395Q.pdfagricultural commoditiesdynamic conditional correlationsdcc-garch model |
| spellingShingle | Živkov Dejan Stankov Biljana Roganović Milijana Momčilović Mirela Dynamic correlation between selected cereals traded in commodity exchange market in AP Vojvodina Ekonomika Poljoprivrede (1979) agricultural commodities dynamic conditional correlations dcc-garch model |
| title | Dynamic correlation between selected cereals traded in commodity exchange market in AP Vojvodina |
| title_full | Dynamic correlation between selected cereals traded in commodity exchange market in AP Vojvodina |
| title_fullStr | Dynamic correlation between selected cereals traded in commodity exchange market in AP Vojvodina |
| title_full_unstemmed | Dynamic correlation between selected cereals traded in commodity exchange market in AP Vojvodina |
| title_short | Dynamic correlation between selected cereals traded in commodity exchange market in AP Vojvodina |
| title_sort | dynamic correlation between selected cereals traded in commodity exchange market in ap vojvodina |
| topic | agricultural commodities dynamic conditional correlations dcc-garch model |
| url | https://scindeks-clanci.ceon.rs/data/pdf/0352-3462/2022/0352-34622202395Q.pdf |
| work_keys_str_mv | AT zivkovdejan dynamiccorrelationbetweenselectedcerealstradedincommodityexchangemarketinapvojvodina AT stankovbiljana dynamiccorrelationbetweenselectedcerealstradedincommodityexchangemarketinapvojvodina AT roganovicmilijana dynamiccorrelationbetweenselectedcerealstradedincommodityexchangemarketinapvojvodina AT momcilovicmirela dynamiccorrelationbetweenselectedcerealstradedincommodityexchangemarketinapvojvodina |