@article{Leung:338504,
      recid = {338504},
      author = {Leung, Henry and Furfaro, Frank},
      title = {Comovement of dairy product futures and firm value:  returns and volatility},
      journal = {Australian Journal of Agricultural and Resource Economics},
      address = {2020-07-01},
      number = {428-2023-1640},
      month = {Jul},
      year = {2020},
      abstract = {This study investigates the exposure of dairy firm stock  prices to the prices of dairy product futures, in terms of  returns and volatility, from May 2013 to April 2018. Stock  price returns are regressed against an index of the futures  price returns to four dairy products – milk, cheese, butter  and dry whey – to isolate the effects of the dairy futures  price returns. Dairy product futures price returns are  found to be significant in the regression in the first  three years of the sample period, with a mean coefficient  of 0.024. Using the Diebold-Yilmaz volatility spillover  method of forecast error variance decomposition, we show  that the volatility of the four dairy product futures  accounted for an average of 5.49 per cent of the volatility  of dairy stock prices. These results suggest that the  prices of dairy firms have minimal exposure to dairy  product futures prices. This has implications for dairy  firms and investors, who seek to understand volatility and  returns in the dairy products and the stocks they trade in,  and for policymakers, who seek to control or mitigate  undesirable dairy product price volatility.},
      url = {http://ageconsearch.umn.edu/record/338504},
      doi = {https://doi.org/10.22004/ag.econ.338504},
}