Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/228670 
Authors: 
Year of Publication: 
2021
Citation: 
[Journal:] Mathematics [ISSN:] 2227-7390 [Volume:] 9 [Issue:] 2 [Article No.:] 115 [Publisher:] MDPI [Place:] Basel [Year:] 2021
Publisher: 
MDPI, Basel
Abstract: 
This paper examines the world wheat market leadership using price discovery occurring in wheat futures markets of the United States (U.S.) and Europe. An error correction model (ECM) generalized autoregressive conditional heteroskedasticity (GARCH), and semi-parametric dynamic copula methods are used for this purpose. The results indicate a positive link between U.S. and Europe price discovery which is stronger, fluctuating less after August 2010 because of a drought occurring in the Black Sea region, and then lessens, fluctuating more after 2015 with the changing wheat trade map. Furthermore, after 2015, wheat market leadership moved from the U.S. to the European market, meaning price discovery is primarily located by the Marché à Terme International de France (MATIF) futures market.
Subjects: 
price discovery
wheat market leadership
error correction model-GARCH
cointegration analysis
dependence analysis
semi-parametric copula
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Creative Commons License: 
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Document Type: 
Article
Document Version: 
Published Version

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