Measuring the volatility spill-over effects between Chicago Board of Trade and the South African maize market /Gert J. van Wyk.
It is widely believed among South African agricultural market participants that the United States' corn price, as represented by the Chicago Board of Trade-listed corn contract, is causal to the price of white and yellow maize traded on the South African Futures Exchange. Although a strong corr...
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ndltd-NWUBOLOKA1-oai-dspace.nwu.ac.za-10394-98642014-09-30T04:06:27ZMeasuring the volatility spill-over effects between Chicago Board of Trade and the South African maize market /Gert J. van Wyk.Van Wyk, Gert JohannesSAFEXWMAZYMAZCBOT corn contractGARCEGARCH agricultural commoditiestradermaizevolatilityvolatility spill-overoptionsCBOT mieliekontraklandboukommoditeitehandelaarmieliesvolatiliteitvolatiliteitsoorspoel effekopsiesIt is widely believed among South African agricultural market participants that the United States' corn price, as represented by the Chicago Board of Trade-listed corn contract, is causal to the price of white and yellow maize traded on the South African Futures Exchange. Although a strong correlation exists between these markets, the corn contract is far from causal to the South African maize price, as indicated by Auret and Schmitt (2008). Similarly, South African market participants believe that volatility generated in the United States corn market spills over to the South African market. Given the perceived volatility spill-over from the corn market to the maize market, market participants might inadvertently include a higher volatility component in an option price in the South African maize market than is necessary. This study sought to quantify the amount of volatility spill-over to the South African white and yellow maize market from the United States corn contract. This task was accomplished by applying an Exponential Generalised Auto Regressive Conditional Heteroscedasticity model, within an aggregate shock framework, to the data. The findings indicated that the volatility spill-over from the United States corn market to the South African maize market is not statistically significant. This result suggests that volatility in the South African market is locally driven; hence, it should not be necessary for a South African listed option contract to carry an international volatility component in its price. It was also found that the returns data of the South African maize market is asymmetrically skewed, indicating that bad news will have a greater effect on the price of maize compared with good news.Thesis (MCom (Risk Management))--North-West University, Potchefstroom Campus, 2013.North-West University2014-01-08T07:54:00Z2014-01-08T07:54:00Z2012Thesishttp://hdl.handle.net/10394/9864en |
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en |
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NDLTD |
topic |
SAFEX WMAZ YMAZ CBOT corn contract GARC EGARCH agricultural commodities trader maize volatility volatility spill-over options CBOT mieliekontrak landboukommoditeite handelaar mielies volatiliteit volatiliteitsoorspoel effek opsies |
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SAFEX WMAZ YMAZ CBOT corn contract GARC EGARCH agricultural commodities trader maize volatility volatility spill-over options CBOT mieliekontrak landboukommoditeite handelaar mielies volatiliteit volatiliteitsoorspoel effek opsies Van Wyk, Gert Johannes Measuring the volatility spill-over effects between Chicago Board of Trade and the South African maize market /Gert J. van Wyk. |
description |
It is widely believed among South African agricultural market participants that the United States' corn price, as represented by the Chicago Board of Trade-listed corn contract, is causal to the price of white and yellow maize traded on the South African Futures Exchange. Although a strong correlation exists between these markets, the corn contract is far from causal to the South African maize price, as indicated by Auret and Schmitt (2008). Similarly, South African market participants believe that volatility generated in the United States corn market spills over to the South African market. Given the perceived volatility spill-over from the corn market to the maize market, market participants might inadvertently include a higher volatility component in an option price in the South African maize market than is necessary.
This study sought to quantify the amount of volatility spill-over to the South African white and yellow maize market from the United States corn contract. This task was accomplished by applying an Exponential Generalised Auto Regressive Conditional Heteroscedasticity model, within an aggregate shock framework, to the data. The findings indicated that the volatility spill-over from the United States corn market to the South African maize market is not statistically significant. This result suggests that volatility in the South African market is locally driven; hence, it should not be necessary for a South African listed option contract to carry an international volatility component in its price. It was also found that the returns data of the South African maize market is asymmetrically skewed, indicating that bad news will have a greater effect on the price of maize compared with good news. === Thesis (MCom (Risk Management))--North-West University, Potchefstroom Campus, 2013. |
author |
Van Wyk, Gert Johannes |
author_facet |
Van Wyk, Gert Johannes |
author_sort |
Van Wyk, Gert Johannes |
title |
Measuring the volatility spill-over effects between Chicago Board of Trade and the South African maize market /Gert J. van Wyk. |
title_short |
Measuring the volatility spill-over effects between Chicago Board of Trade and the South African maize market /Gert J. van Wyk. |
title_full |
Measuring the volatility spill-over effects between Chicago Board of Trade and the South African maize market /Gert J. van Wyk. |
title_fullStr |
Measuring the volatility spill-over effects between Chicago Board of Trade and the South African maize market /Gert J. van Wyk. |
title_full_unstemmed |
Measuring the volatility spill-over effects between Chicago Board of Trade and the South African maize market /Gert J. van Wyk. |
title_sort |
measuring the volatility spill-over effects between chicago board of trade and the south african maize market /gert j. van wyk. |
publisher |
North-West University |
publishDate |
2014 |
url |
http://hdl.handle.net/10394/9864 |
work_keys_str_mv |
AT vanwykgertjohannes measuringthevolatilityspillovereffectsbetweenchicagoboardoftradeandthesouthafricanmaizemarketgertjvanwyk |
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1716715728579592192 |