Price Volatility Spillovers among Major Wheat Markets in The World

• Autorzy: Mohammed Sanusi Sadiq , I.P. Singh , M.M. Ahmad
• Języki publikacji: EN

Abstrakty

EN

This research determined price volatility spillovers among major wheat markets in the world using time series data (1966-2018) from six major wheat producing countries. The data were sourced from FAO and UNCTAD databanks and the data were analyzed using descriptive statistics, multiple regression, unit root test and GARCH models. The findings showed that there is low and high persistence in the wheat prices of Canada and USA; and, Australia and India, respectively. Thus, it was established that the prices in the former markets were characterized by short memory; the effect of shock is temporary as the prices return to the attractor level within a short period. However, bad news has a pronounced effect on the prices of the latter markets and it takes a longer period for the price series to normalize. On the other hand, the French and Chinese price series exhibited an explosive pattern; the price series have infinite memory and the effect of innovation is permanent as price series will not normalize. Therefore, it can be concluded that the future trade of wheat is useful for the market prices that are persistent as their price trends are tailored towards rational expectation rather than naïve expectation. However, for the market prices that are explosive, the market participants should focus on rational market expectation as a trade barometer.(original abstract)

Słowa kluczowe

EN

Grain products market; Corn; Product price

PL

Rynek przetworów zbożowych; Zboża; Cena produktu

• Czasopismo: Journal of Agribusiness and Rural Development
• Rocznik: 2022
• Numer: z. 3 (65)
• Strony: 251--262

Twórcy

autor

Mohammed Sanusi Sadiq

• Federal University Dutse, Nigeria

autor

I.P. Singh

• Swami Keshwanand Rajasthan Agricultural University, India

autor

M.M. Ahmad

• Bayero University Kano, Nigeria

Bibliografia

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Identyfikatory

DOI

10.17306/J.JARD.2022.01589