Quantile coherency of futures prices in palm and soybean oil markets

IF 1.7 Q3 BUSINESS, FINANCE
Panos Fousekis
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引用次数: 0

Abstract

Abstract The objective of the present work is to investigate the contemporaneous price co-movement in the futures markets of soybean and palm oil. This is pursued using quantile coherency (a statistical tool that allows for both frequency- and quantile-dependent linkages between stochastic processes) and daily futures prices from 2015 to 2023. The empirical findings suggest: (a) The co-movement between palm and soybean oil prices is not very high and, at the same time, it is asymmetric; prices in the two markets are more likely to crash than to boom together. (b) The intensity of co-movement tends to increase monotonically with the time-scale considered. However, the bulk of the adjustments to shocks tend to be completed within 1 month; the differences between coherency estimates in the medium- and in the long-run are rather small. (c) Price co-movement appears to be driven by both pure (short-run) contagion as well as by fundamental-based (long-run) contagion.
棕榈油和豆油期货价格的分位数一致性
摘要本研究的目的是研究大豆和棕榈油期货市场的同期价格协同运动。这是通过分位数一致性(一种统计工具,允许随机过程之间的频率和分位数相关联系)和2015年至2023年的每日期货价格来实现的。实证结果表明:(a)棕榈油和大豆油价格之间的共同变动不是很高,同时也是不对称的;这两个市场的价格更有可能暴跌,而不是一起上涨。(b)在考虑时间尺度时,共运动强度趋于单调增加。然而,对冲击的大部分调整往往在1个月内完成;在中期和长期的一致性估计之间的差异是相当小的。(c)价格共同运动似乎是由纯粹的(短期)传染和基于基本面的(长期)传染共同驱动的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Journal of Economics and Finance
Journal of Economics and Finance Economics, Econometrics and Finance-Finance
CiteScore
2.50
自引率
0.00%
发文量
41
期刊介绍: The Journal of Economics and Finance is the official journal of the Academy of Economics and Finance.  It publishes theoretical and empirical research papers in economics and finance.  Its primary focus is on empirical studies utilizing recent advances in econometrics with an emphasis on the policy relevance of the findings.Officially cited as: J Econ Finance
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