TY  - EJOUR
AB  - 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.
AU  - Leung, Henry
AU  - Furfaro, Frank
DA  - 2020-07-01
DA  - 2020-07-01
DO  - 10.22004/ag.econ.338504
DO  - doi
EP  - 654
EP  - 632
ID  - 338504
IS  - 3
JF  - Australian Journal of Agricultural and Resource Economics
KW  - Industrial Organization
KW  - comovement
KW  - equity
KW  - returns
L1  - https://ageconsearch.umn.edu/record/338504/files/ajar12373.pdf
L2  - https://ageconsearch.umn.edu/record/338504/files/ajar12373.pdf
L4  - https://ageconsearch.umn.edu/record/338504/files/ajar12373.pdf
LA  - eng
LA  - English
LK  - https://ageconsearch.umn.edu/record/338504/files/ajar12373.pdf
N2  - 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.
PY  - 2020-07-01
PY  - 2020-07-01
SN  - 1467-8489
SP  - 632
T1  - Comovement of dairy product futures and firm value: returns and volatility
TI  - Comovement of dairy product futures and firm value: returns and volatility
UR  - https://ageconsearch.umn.edu/record/338504/files/ajar12373.pdf
VL  - 64
Y1  - 2020-07-01
T2  - Australian Journal of Agricultural and Resource Economics
ER  -