Joint multifractality in cross-correlations between grains & oilseeds indices and external uncertainties
Abstract This study investigates the relationships between agricultural spot markets and external uncertainties through multifractal detrending moving-average cross-correlation analysis (MF-X-DMA). The dataset contains the Grains & Oilseeds Index (GOI) and its five subindices for wheat, maize, s...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2025-01-01
|
| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-024-00669-5 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1841559117963984896 |
|---|---|
| author | Ying-Hui Shao Xing-Lu Gao Yan-Hong Yang Wei-Xing Zhou |
| author_facet | Ying-Hui Shao Xing-Lu Gao Yan-Hong Yang Wei-Xing Zhou |
| author_sort | Ying-Hui Shao |
| collection | DOAJ |
| description | Abstract This study investigates the relationships between agricultural spot markets and external uncertainties through multifractal detrending moving-average cross-correlation analysis (MF-X-DMA). The dataset contains the Grains & Oilseeds Index (GOI) and its five subindices for wheat, maize, soyabeans, rice, and barley. Moreover, we use three uncertainty proxies, namely, economic policy uncertainty (EPU), geopolitical risk (GPR), and Volatility Index (VIX). We observe multifractal cross-correlations between agricultural markets and uncertainties. Furthermore, statistical tests reveal that maize has intrinsic joint multifractality with all the uncertainty proxies, highly sensitive to external shocks. Additionally, intrinsic multifractality among GOI-GPR, wheat-GPR, and soyabeans-VIX is illustrated. However, other series have apparent multifractal cross-correlations with high probabilities. Moreover, our analysis suggests that among the three types of external uncertainties, GPR has the strongest association with grain prices, excluding maize and soyabeans. |
| format | Article |
| id | doaj-art-15a2d7d6835b446984d830b9c0dee3af |
| institution | Kabale University |
| issn | 2199-4730 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj-art-15a2d7d6835b446984d830b9c0dee3af2025-01-05T12:43:42ZengSpringerOpenFinancial Innovation2199-47302025-01-0111113210.1186/s40854-024-00669-5Joint multifractality in cross-correlations between grains & oilseeds indices and external uncertaintiesYing-Hui Shao0Xing-Lu Gao1Yan-Hong Yang2Wei-Xing Zhou3School of Statistics and Information, Shanghai University of International Business and EconomicsSchool of Business, East China University of Science and TechnologySILC Business School, Shanghai UniversitySchool of Business, East China University of Science and TechnologyAbstract This study investigates the relationships between agricultural spot markets and external uncertainties through multifractal detrending moving-average cross-correlation analysis (MF-X-DMA). The dataset contains the Grains & Oilseeds Index (GOI) and its five subindices for wheat, maize, soyabeans, rice, and barley. Moreover, we use three uncertainty proxies, namely, economic policy uncertainty (EPU), geopolitical risk (GPR), and Volatility Index (VIX). We observe multifractal cross-correlations between agricultural markets and uncertainties. Furthermore, statistical tests reveal that maize has intrinsic joint multifractality with all the uncertainty proxies, highly sensitive to external shocks. Additionally, intrinsic multifractality among GOI-GPR, wheat-GPR, and soyabeans-VIX is illustrated. However, other series have apparent multifractal cross-correlations with high probabilities. Moreover, our analysis suggests that among the three types of external uncertainties, GPR has the strongest association with grain prices, excluding maize and soyabeans.https://doi.org/10.1186/s40854-024-00669-5Agricultural marketUncertaintyMF-X-DMAMultifractal cross-correlationStatistical test |
| spellingShingle | Ying-Hui Shao Xing-Lu Gao Yan-Hong Yang Wei-Xing Zhou Joint multifractality in cross-correlations between grains & oilseeds indices and external uncertainties Financial Innovation Agricultural market Uncertainty MF-X-DMA Multifractal cross-correlation Statistical test |
| title | Joint multifractality in cross-correlations between grains & oilseeds indices and external uncertainties |
| title_full | Joint multifractality in cross-correlations between grains & oilseeds indices and external uncertainties |
| title_fullStr | Joint multifractality in cross-correlations between grains & oilseeds indices and external uncertainties |
| title_full_unstemmed | Joint multifractality in cross-correlations between grains & oilseeds indices and external uncertainties |
| title_short | Joint multifractality in cross-correlations between grains & oilseeds indices and external uncertainties |
| title_sort | joint multifractality in cross correlations between grains oilseeds indices and external uncertainties |
| topic | Agricultural market Uncertainty MF-X-DMA Multifractal cross-correlation Statistical test |
| url | https://doi.org/10.1186/s40854-024-00669-5 |
| work_keys_str_mv | AT yinghuishao jointmultifractalityincrosscorrelationsbetweengrainsoilseedsindicesandexternaluncertainties AT xinglugao jointmultifractalityincrosscorrelationsbetweengrainsoilseedsindicesandexternaluncertainties AT yanhongyang jointmultifractalityincrosscorrelationsbetweengrainsoilseedsindicesandexternaluncertainties AT weixingzhou jointmultifractalityincrosscorrelationsbetweengrainsoilseedsindicesandexternaluncertainties |