| dc.description.abstract | The food market is suffering from the COVID-19 Pandemic and the Locust Crisis in 2020. The price of agricultural products is potentially under a high risk both in the spot market and futures market. We examine the effects from the two main participants, index traders and swap dealers, on futures returns and volatility for corn, soybeans, wheat, and live cattle. Multivariate generalized autoregressive conditional heteroscedasticity models are applied in the research with the weekly data from 2010 to 2020. We discuss the spillovers as well. The main finding is that the own past volatility significantly affects all the tested commodities’ current volatility. A positive effect is observed between the past shock and the current volatility for all the tested commodities. The spillovers from the past volatility and innovation to the current volatility are observed in some bivariate models. Contemporaneous effects of index traders and swap dealers on the own returns are found in wheat and soybeans, and a lagged effect is found in live cattle. The index traders’ trading is positively related to their own current volatility for corn and live cattle. The spillovers on the volatility across the commodities based on the index trading are very limited. The impact from the swap dealers trading on the own current volatility is found in corn, soybeans, and live cattle. The spillovers on the volatility based on the swap dealers’ trading are limited to observe. | en |
