Extreme connectedness of agri-commodities with stock markets and its determinants
Billah M. Balli F. Hoxha I.
May 2023Elsevier B.V.
Global Finance Journal
2023#56
In this paper, we quantify the extreme connectedness between agricultural commodity prices with food and beverage stock market returns. We find that the connectedness of returns relies on the degree of the inverse shock, as suggested by the larger impact of the anticipated shock on the upper and lower tails than the estimated shock on the conditional mean. Additionally, the dynamics of the connectedness of returns monitored in the tail differ from the conditional mean. These two outcomes recommend that using conditional averages is limited and imprecise to analyze returns connected with extreme positive/negative events in agricultural commodities and food & beverage indices. Next, we find the determinants of the extent of the connectedness by employing firm level statistics. We find that some of the determinants driving the return spillovers at upper and lower quantiles are quite different from those driving the return spillovers at the middle quantile.
Agricultural commodity prices , Extreme market conditions , Food and beverage stock market returns , Quantile connectedness
Text of the article Перейти на текст статьи
Department of Accounting and Finance, College of Business Administration, Prince Mohammad Bin Fahd University, Al Khobar, Saudi Arabia
School of Economics and Finance, Massey University, Auckland, New Zealand
School of Business Administration, Penn State University, Harrisburg, United States
Higher School of Economics and BusinessAl-Farabi Kazakh National University, Almaty, Kazakhstan
Department of Accounting and Finance
School of Economics and Finance
School of Business Administration
Higher School of Economics and BusinessAl-Farabi Kazakh National University
10 лет помогаем публиковать статьи Международный издатель
Книга Публикация научной статьи Волощук 2026 Book Publication of a scientific article 2026