The volatility connectedness between agricultural commodity and agri businesses: Evidence from time-varying extended joint approach
| dc.contributor.author | Efe Caglar Cagli | |
| dc.contributor.author | Pinar Evrim Mandaci | |
| dc.contributor.author | Dilvin Taskin | |
| dc.contributor.author | Taskin, Dilvin | |
| dc.contributor.author | Mandaci, Pinar Evrim | |
| dc.contributor.author | Cagli, Efe Caglar | |
| dc.date | MAR | |
| dc.date.accessioned | 2025-10-06T16:20:48Z | |
| dc.date.issued | 2023 | |
| dc.description.abstract | This paper investigates the volatility connectedness between ten major agribusiness common stock prices and various agricultural commodity prices between August 11 2005 and November 4 2022. We employ the time-varying parameter vector autoregressions (TVP-VAR) extended joint connectedness framework. The results show that agribusiness stocks are net volatility transmitters whereas agricultural commodities are net volatility receivers. The results provide significant implications for investors and policymakers concerned with commodity prices. | |
| dc.identifier.doi | 10.1016/j.frl.2022.103555 | |
| dc.identifier.issn | 1544-6123 | |
| dc.identifier.issn | 1544-6131 | |
| dc.identifier.scopus | 2-s2.0-85144030447 | |
| dc.identifier.uri | http://dx.doi.org/10.1016/j.frl.2022.103555 | |
| dc.identifier.uri | https://gcris.yasar.edu.tr/handle/123456789/6556 | |
| dc.identifier.uri | https://doi.org/10.1016/j.frl.2022.103555 | |
| dc.language.iso | English | |
| dc.publisher | ACADEMIC PRESS INC ELSEVIER SCIENCE | |
| dc.relation.ispartof | Finance Research Letters | |
| dc.rights | info:eu-repo/semantics/closedAccess | |
| dc.source | FINANCE RESEARCH LETTERS | |
| dc.subject | Agribusinesses, Agricultural commodities, TVP-VAR model, Extended joint connectedness | |
| dc.subject | EFFICIENT TESTS, CRUDE-OIL, SPILLOVERS, VARIANCE, FUTURES, ENERGY, MARKET | |
| dc.subject | TVP-VAR Model | |
| dc.subject | Extended Joint Connectedness | |
| dc.subject | Agribusinesses | |
| dc.subject | Agricultural Commodities | |
| dc.title | The volatility connectedness between agricultural commodity and agri businesses: Evidence from time-varying extended joint approach | |
| dc.type | Article | |
| dspace.entity.type | Publication | |
| gdc.author.id | Taşkın, Dilvin/0000-0001-6139-8006 | |
| gdc.author.id | Cagli, Efe C/0000-0002-8250-141X | |
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| gdc.author.wosid | EVRIM MANDACI, PINAR/A-3090-2019 | |
| gdc.author.wosid | Taşkın, Dilvin/AAL-1206-2020 | |
| gdc.author.wosid | Cagli, Efe C/C-5481-2015 | |
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| gdc.description.departmenttemp | [Cagli, Efe Caglar; Mandaci, Pinar Evrim] Dokuz Eylul Univ, Fac Business, TR-35390 Izmir, Turkiye; [Taskin, Dilvin] Yasar Univ, Fac Business, TR-35100 Izmir, Turkiye | |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | |
| gdc.description.startpage | 103555 | |
| gdc.description.volume | 52 | |
| gdc.description.woscitationindex | Social Science Citation Index | |
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| gdc.oaire.sciencefields | 0502 economics and business | |
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| gdc.virtual.author | Mandaci, Pinar Evrim | |
| gdc.virtual.author | Taşkin Yeşilova, Fatma Dilvin | |
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| person.identifier.orcid | Taskin- Dilvin/0000-0001-6139-8006, Cagli- Efe C./0000-0002-8250-141X | |
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