Document Type
Thesis - Open Access
Award Date
2017
Degree Name
Master of Science (MS)
Department / School
Economics
First Advisor
Zhiguang Wang
Abstract
This thesis investigates the price discovery and volatility spillover effects between agricultural ETPs and commodity underlying. We analyze historical prices of five most popular grain ETPs and their underlying commodities using VEC model and BEKK model. Price discovery is confirmed by bidirectional relationships between ETPs and underlying commodity in the long term, and the WEAT_ETP and CBOT Wheat Futures December Contracts. In addition, findings show unidirectional relationships between ETPs and underlying, mostly in the short term. In the process of price discovery, the information share of ETPs is much lower than that of underlying, with a potential downward trend. Volatility spillover is confirmed by bidirectional relationships between ETPs and underlying, such as JJG_ETP and soybean futures, and confirmed by unidirectional relationships, such as from wheat futures to DAG_ETP. For single commodity based ETPs, the degree of volatility spillover from the nearby futures contracts to ETPs is higher than that from distant futures contracts.
Library of Congress Subject Headings
Agricultural prices.
Commodity exchanges.
Commodity futures.
Exchange traded funds.
Grain trade.
Description
Includes bibliographical references (pages 66-69)
Format
application/pdf
Number of Pages
77
Publisher
South Dakota State University
Recommended Citation
Chen, Yu, "Price Discovery and Volatility Spillover Effects: The Agricultural ETPS and Their Underlying Commodities" (2017). Electronic Theses and Dissertations. 1142.
https://openprairie.sdstate.edu/etd/1142
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Rights Statement
