19-33

• Σαριαννίδης, Νικόλαος

This paper studies the price volatility of the cotton market by examining the effect of seasonality and financial and currency factors on the volatility of the cotton future prices. The findings also suggest that the volatility of the bond market has a stabilizing effect on the conditional mean of the cotton return series. In addition, the structural analysis of the cotton price volatility shows that the conditional variance appears to be more volatile in response to the shocks of the U.S. Dollar/Yen exchange rate. It also shows that the volatility of the TNX 10-Year Treasury Note has a stabilizing effect on the conditional variance of the cotton return series.

• Economics and Business

• Economics

Cotton futures, Crude oil, Ethanol, Bond, Exchange rates

JEL classification: F39, G10, G15