Food Financialization: Impact of Derivatives and Index Funds on Agri-Food Market Volatility

Food Financialization: Impact of Derivatives and Index Funds on Agri-Food Market Volatility

This study explores the financialization of agricultural commodities, focusing on how financial derivatives and index funds impact the volatility of agro-food markets. Using a Dynamic Conditional Correlation (DCC) GARCH model, we analyze volatility spillovers among key agricultural commodities, part...

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Bibliographic Details
Main Authors: María del Rosario Venegas, Jorge Feregrino, Nelson Lay, Juan Felipe Espinosa-Cristia
Format: Article
Language:English
Published: MDPI AG 2024-12-01
Series:International Journal of Financial Studies
Subjects:
financialization
agricultural commodities
price volatility
derivatives markets
index funds
agro-food sector
Online Access:https://www.mdpi.com/2227-7072/12/4/121
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