Cointegration between the Black Sea and Kansas City Wheat Futures: The impact of Russian invasion of Ukraine

Authors

DOI:

https://doi.org/10.15549/jeecar.v10i3.1177

Keywords:

Black Sea Wheat futures, Kansas City Wheat futures, Russian invasion of Ukraine, Error Correction Model, Cointegration of wheat prices

Abstract

We investigate the effect of the Russian invasion of Ukraine on Black Sea Wheat futures. We find that the Black Sea Wheat futures are cointegrated with the Kansas City Wheat futures, the global standard for wheat prices. However, the relationship between these two series significantly changes as a reaction to the main geopolitical events in the region. We also document a significant drop in open interest after the invasion. Our results are relevant to many market participants, such as Ukrainian farmers and consumers in developing countries, including the World Food Program, which buys about forty percent of its wheat supplies from Ukraine.

Author Biographies

Jimmy E. Hilliard, Auburn University

Dr. Jimmy E.Hilliard is the Harbert Eminent Scholar and Professor of Finance at Auburn University. His research concentrates on option and futures markets and investments. 

Jitka Hilliard, Auburn University, AL

Dr. Jitka Hilliard is a professor of finance and  J.K. Lowder Family Professor at  Auburn University. Her research interests include investments and option pricing. 

Yufei Wu, Auburn University

Yufei Zu is a Ph.D. student at Auburn University.

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Published

2023-06-05

How to Cite

Hilliard, J. E., Hilliard, J., & Wu, Y. (2023). Cointegration between the Black Sea and Kansas City Wheat Futures: The impact of Russian invasion of Ukraine. Journal of Eastern European and Central Asian Research (JEECAR), 10(3), 413–424. https://doi.org/10.15549/jeecar.v10i3.1177

Issue

Vol. 10 No. 3 (2023): Journal of Eastern European and Central Asian Research

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