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Thesis - University Access Only
Master of Science (MS)
In this thesis, I investigate price volatility transmission between food companies (under processed and packaged goods, meat, dairy, and farm products sectors) and grain markets in the United States. It is an intuitive notion that price fluctuations in the grain markets can impact the bottom line of a food company and thus, determine its stock price. I apply a multivariate GARCH model to three grain price indices and stock prices of major food companies under processed and packaged, meat, dairy and farm products sectors. I analyze daily stock price and grain price indices data using a bivariate VAR (1) – GARCH (1, 1) model with BEKK and CCC representations proposed by R. F. Engle and Kroner (1995). These models are used to examine the spillover effects between the two markets. I find evidence of bi-directional volatility spillover effects with strong emphasis running from the grain markets to the food companies. Empirical results imply that volatility spillover from the grain markets to food sectors has the following rank in terms of magnitude: processed and packaged goods sector > meat sector > farm sector > dairy sector, from the strongest to the weakest.
Library of Congress Subject Headings
Food industry and trade
Includes bibliographical references (pages 59-60)
Number of Pages
South Dakota State University
In Copyright - Non-Commercial Use Permitted
Graham, Angela Sarah, "Volatility Transmission: A Linkage Between Grain Markets and Food Companies" (2014). Electronic Theses and Dissertations. 2002.