scholarly journals Investigating the Volatility Spillover Effect Between Derivative Markets and Spot Markets Via The Wavelets: The Case of Borsa Istanbul

2021 ◽  
Author(s):  
Süleyman Gürbüz ◽  
Ahmet Şahbaz
Keyword(s):  
Spillover Effect ◽  
Spot Markets ◽  
Volatility Spillover ◽  
Derivative Markets ◽  
Volatility Spillover Effect

scholarly journals Analysis of meat price volatility and volatility spillovers in Finland

2020 ◽  
Vol 66 (No. 2) ◽  
pp. 84-91
Author(s):  
Marwa Ben Abdallah ◽  
Maria Fekete Farkas ◽  
Zoltan Lakner
Keyword(s):  
Price Level ◽  
Risk Mitigation ◽  
Spillover Effect ◽  
Significant Risk ◽  
Price Volatility ◽  
Poultry Meat ◽  
Volatility Spillover ◽  
Negative Effects ◽  
Volatility Spillovers ◽  
Volatility Spillover Effect

Unforeseen important changes in price can present a significant risk in the market. The price fluctuation of agricultural commodities has raised concern for studying the volatility of different agricultural products. A persistent volatility in prices causes continued uncertainty in the market. Higher price volatility is to be mitigated by higher management costs and the higher cost of risk mitigation is often converted into higher producer prices. The aim of this paper is to investigate the price volatility of producer and consumer meat prices and to capture the volatility spillover along the Finnish meat supply chain. The Generalised Autoregressive Conditional Heteroskedasticity – Baba, Engle, Kraft and Kroner (GARCH-BEKK) model is applied to analyse shocks and volatilities of the prices and to estimate whether the price volatility is flowing from the first price level (producer) to the second price level (consumer), using monthly price indices. An asymmetric volatility spillover effect was detected in the poultry meat and a unidirectional, volatility spillover effect, from consumer to producer, is observed for pork prices. The findings of this study could serve as a tool for forecasting meat producer and consumer prices, which could assist the Finnish government with endorsing policy options to alleviate the price volatility impact, to protect both consumers and producers from its negative effects.

Price Discovery and Spillover Effect between Currency Futures Market and Spot Market-Comparing Developing Country with Developed Country

2014 ◽  
Vol 22 (2) ◽  
pp. 193-221
Author(s):  
Xing Qun Xue ◽  
Sae Woon Park ◽  
Hee Ho Kim
Keyword(s):  
Emerging Markets ◽  
Foreign Exchange ◽  
Emerging Market ◽  
Spillover Effect ◽  
Spot Market ◽  
Future Market ◽  
Volatility Spillover ◽  
Developed Country ◽  
Foreign Exchange Intervention ◽  
Volatility Spillover Effect

This study examines the volatility spillover effect and forward pricing effect between futures and spot markets, using the daily data of January 1988~April 2013 and Bounds test, ARDL model, DCC-GARCH model and the new method of spillover index calculation. In particular, the comparison between the developed and emerging markets will shed a light on a difference between the efficiencies of the two groups of markets. Our results show that the volatility spillover effect in the developed market was less in magnitude, compared to that effect in the emerging market. The causal influence from the future market to the spot market was greater in the developed market than in the emerging markets. This indicates that the foreign exchange markets (future and spot both) were much more efficient in the developed markets than in the emerging markets. This also implies very fruitful guides for the foreign exchange intervention policy, including signaling effect, portfolio effects, and direct and indirect intervention effects.

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