| Summary: | Maize traders on the South African Futures Exchange (SAFEX) strive to determine future price
movements by tracking the following influential price indicators: domestic fundamental factors,
the USA yellow maize prices, and the ZAR/USD exchange rate. This study investigates whether
there were certain periods where the CBOT yellow maize prices influenced the SAFEX yellow
maize prices more than in other periods, as well as whether fundamental factors can be used
as a price indicator in the periods where CBOT had a less significant effect on the SAFEX
prices. Therefore, this study examined the approach of determining the future price movements
of yellow maize prices in South Africa by establishing the volatility spill–over effect between the
two markets in two seasonal regimes and comparing the results.
After an extensive empirical study and a supporting literature overview of the fundamental
factors that influence the South African and USA maize markets, the volatility spill–over effect
between SAFEX and CBOT was determined. This led the study to conclude the following:
There are certain periods where the CBOT yellow maize prices influenced the SAFEX yellow
maize prices more than in other periods. Consequently, in the periods where CBOT did have a
less significant influence on the SAFEX prices, fundamental factors could be used as an
alternative price indicator. Traders on the SAFEX market can therefore use the CBOT yellow
maize prices as a reliable price indicator in the South African harvesting season; whereas, in
the planting season, the CBOT prices in collaboration with fundamental analysis should be
used. === Thesis (MCom (Risk management))--North-West University, Potchefstroom Campus, 2012.
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