EconStor >
Eastern Macedonia and Thrace Institute of Technology (EMaTTech), Kavala, Greece >
International Journal of Business and Economic Sciences and Applied Research (IJBESAR) >

Please use this identifier to cite or link to this item:
Title:The impact of stock, energy and foreign exchange markets on the sugar market PDF Logo
Authors:Sariannidis, Nikolaos
Issue Date:2010
Citation:[Journal:] International Journal of Economic Sciences and Applied Research [ISSN:] 1791-3373 [Volume:] 3 [Year:] 2010 [Issue:] 1 [Pages:] 109-117
Abstract:This study examines the effect of financial factors on the sugar market by using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. The results show that changes in capital and energy markets returns have a positive impact on the mean returns of Sugar futures as opposed to changes in volatility returns of the exchange rate of the U.S. Dollar/ Yen that affect it negatively. Finally, the structural analysis of volatility with the GARCH model has shown that current volatility is more influenced by past volatility rather than by the previous day shocks.
Subjects:GARCH model
sugar futures
crude oil
exchange rates
Document Type:Article
Appears in Collections:International Journal of Business and Economic Sciences and Applied Research (IJBESAR)

Files in This Item:
File Description SizeFormat
659382105.pdf394.78 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.