Short-Term Speculation Effects on Agricultural Commodity Returns and Volatility in the European Market Prior to and during the Pandemic

Motivated by increased agricultural commodity price volatility and surges during the past decade, we investigated whether financial speculation is to blame. The aim of this paper build on prior research about what extent in which ways undermines prices. In our analysis, utilized daily returns milling wheat, corn, soybean futures from Euronext Commodities Paris market (MATIF) as well short-term index. To quantify impact, apply Granger noncausality tests GARCH (generalized autoregressive conditional heteroskedasticity) technique. We also propose a model using seasonal dummy variables examine has greater impact more volatile months. According results, speculation, an external factor, most cases no effect or reduces underlying opposite observed corn market, where risen post-2020 period been pushed up even April. However, since influence other commodities limited nonexistent, emphasis should be focused European its interdependence with energy markets.