It is necessary to resolve the spill-over volatility of agricultural commodities for at least two reasons. Second, the volatility of the prices of agricultural commodities seems to have risen over the last few years. Second, there is a clear need to consider, according to the Food and Agriculture Organization, the possible negative) effects of food instability on food security. The goal of this paper is to investigate the existence, size and persistence of spillovers of volatility between five stock market indexes for agricultural commodities (maize, sugar, wheat, soybean and bioethanol) and five stock market indexes for Latin America (Argentina, Brazil, Chile, Colombia, Peru). A spillover index (and thus the direction), the key sources, and the recipients of the spillovers can be established. It was the periods, that is: corn Chile, corn Colombia, and corn Peru; sugar Colombia and sugar Peru; and, finally, wheat Chile and wheat Peru. Overall, Latin American stock market volatility continues to grow when a negative shock reaches the commodity market. For example, this happens with the relationships between maize and Chile and Colombia, and from wheat to Peru and Chile.
Author (s) Details
MEMOTEF Department, Sapienza University of Rome, Italy.
Dipartimento di Scienze Giuridiche and CELPE, University of Salerno, Italy.
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