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" Risk spillovers between the BRICS and the U.S. staple grain futures markets "
/ Ying-Hui Shao, Yan-Hong Yang, Wei-Xing Zhou
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Latin Articles
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| Language of Text
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English
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| Book No
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a27061
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| Main Entry
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Shao, Ying-Hui
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| Title and Author
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Risk spillovers between the BRICS and the U.S. staple grain futures markets [electronic resource]/ Ying-Hui Shao, Yan-Hong Yang, Wei-Xing Zhou
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| Article Source
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Finance Research Letters, 75, 2025
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| General Notes
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Title from title page of PDF file
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| Type of Electronic Resource
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Mode of access: World Wide Web
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| Summary or Abstract
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This study examines spillover effects in the BRICS staple grain futures markets and their linkages with the U.S. markets. Results show that contemporaneous spillovers dominate, while net spillovers are driven by lagged connectedness. Systemic risk is lower in intra-BRICS markets than in those including the U.S., highlighting the U.S. grain market’s significant influence. Brazilian and U.S. grains, excluding rice, are key net spillover contributors, while South African grains serve as major net receivers. Spillovers between soybeans are the strongest. Our findings have implications for policymakers aiming to mitigate systemic risks and for investors managing grain futures portfolios amid geopolitical events.
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Risk spillovers, Grain futures markets, BRICS, Cross-market linkages, R2 decomposition
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| Record identifier
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892679
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https://doi.org/10.1016/j.frl.2025.106835
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