Efe Caglar CagliPinar Evrim MandaciDilvin TaskinTaskin, DilvinMandaci, Pinar EvrimCagli, Efe Caglar2025-10-0620231544-61231544-613110.1016/j.frl.2022.1035552-s2.0-85144030447http://dx.doi.org/10.1016/j.frl.2022.103555https://gcris.yasar.edu.tr/handle/123456789/6556https://doi.org/10.1016/j.frl.2022.103555This 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.Englishinfo:eu-repo/semantics/closedAccessAgribusinesses, Agricultural commodities, TVP-VAR model, Extended joint connectednessEFFICIENT TESTS, CRUDE-OIL, SPILLOVERS, VARIANCE, FUTURES, ENERGY, MARKETTVP-VAR ModelExtended Joint ConnectednessAgribusinessesAgricultural CommoditiesArticle