Cointegration Analysis of the World’s Sugar Market: The Existence of the Long-term Equilibrium

DSpace Repository

Show simple item record Kuzmenko, Elena Smutka, Luboš Strielkowski, Wadim Štreimikis, Justas Štreimikienė, Dalia
dc.contributor.other Ekonomická fakulta cs 2020-11-25T08:54:54Z 2020-11-25T08:54:54Z
dc.identifier.issn 1212-3609
dc.description.abstract This paper addresses the issue of interconnection among major sugar markets and commodity/exchange stocks in different parts of the world using the Johansen cointegration approach and vector error correction model. Due to a high degree of sugar market fragmentation and corresponding diversity in price levels and its volatility in different regions, the results of our analysis sheds some light on the very fact of a ‘single’ global sugar market existence and can be important not just with regard to producers and buyers of sugar but for the international investors as well, both in the light of risk governance and maximizing profitability. Using the evaluation of the extent of connection among regional sugar markets, one can assess potential benefits available to investors through international diversification between the analyzed markets. Our analysis has revealed the presence of mutual interaction among the selected sugar markets/commodity stock exchanges in individual regions and confirmed the long-term equilibrium among them. Therefore, despite an obvious diversity in price level and their fluctuations in different world regions, the selected for the analysis regional sugar markets are acting together as a single organism. The determining of the extent to which the analyzed sugar markets are interconnected have significantly strengthen the understanding of the latest sugar price developmental trends. In addition, the results of this study opened space and mapped out clear objectives and measurable targets for potential research – to reveal what markets can be referred to as leading ones in a sense that namely they primarily serve as a source of price turbulence. In summary, our results revealed and confirmed the long-term equilibrium among them and the outcomes of this study opened the new research realms and identified the clear and measurable targets for the future empirical research in this field. en
dc.format text
dc.language.iso en
dc.publisher Technická Univerzita v Liberci cs
dc.publisher Technical university of Liberec, Czech Republic en
dc.relation.ispartof Ekonomie a Management cs
dc.relation.ispartof Economics and Management en
dc.relation.isbasedon Agbenyegah, B. K. (2014). Sugar. Agricultural Commodities, 4(2), 71–73.
dc.relation.isbasedon Alexander, C. (2001). Market Models: A guide to financial data analysis. Chichester: John Wiley & Sons.
dc.relation.isbasedon Baxa, J. (2007). Stock Market Optimism and Cointegration among Stocks: The Case of the Prague Stock Exchange. Acta Oeconomica Pragensia, 15(4), 5–16.
dc.relation.isbasedon Brooks, C. (2014). Introductory Econometrics for Finance (3rd ed.). Cambridge: Cambridge University Press.
dc.relation.isbasedon Čermák, P. (2009). Trh s cukrem ve světě [The global trade of sugar]. Listy Cukrovarnické a Řepařské, 125(11), 302–305. Retrieved from
dc.relation.isbasedon da Costa, C. C., Burnquist, H. L., & Guilhoto, J. J. M. (2015). Special safeguard tariff impacts on the brazilian sugar exports. Journal of International Trade Law and Policy, 14(2), 70–85.
dc.relation.isbasedon Engle, R. F., & Granger, C. W. J. (1987). Co-integration and Error Correction: Representation, Estimation and Testing. Econometrica, 55(2), 251–276.
dc.relation.isbasedon Gevorkyan, A. V. (2018). Exchange market pressure and primary commodity – exporting emerging markets. Applied Economics, 51(22), 2390–2412.
dc.relation.isbasedon Ghosh, A., Saidi, R., & Johnson, K. (1999). Who Moves the Asia-Pacific stock markets – US or Japan? Empirical Evidence Based on Theory of Cointegration. The Financial Review, 34(1), 159–169.
dc.relation.isbasedon Giot, P. (2003). Market Models: A Guide to Financial Data Analysis. Journal of Financial Econometrics, 1(3), 471–473.
dc.relation.isbasedon Haley, S. (2016). Projecting world raw sugar prices. Peanuts and sugar: Background, policy and provisions of federal programs (Economic Research Service Report, pp. 101–182). Washington, DC: United States Department of Agriculture.
dc.relation.isbasedon Huang, H., & Xiong, T. (2020). Price bubbles and market integration in global sugar futures markets. Journal of Applied Economics, 23(1), 1–20.
dc.relation.isbasedon Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551–1580.
dc.relation.isbasedon Johansen, S. (1995). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford: Oxford University Press.
dc.relation.isbasedon Lázaro, J. M. (2013). La Bolsa De La Habana, El Mercado Mundial De Azúcar Y Las Fluctuaciones De La Economía Cubana, 1910–1959 [The havana stock exchange, global sugar market and fluctuations of the cuban economy, 1910–1959]. Revista De Historia Economica – Journal of Iberian and Latin American Economic History, 31(1), 111–143.
dc.relation.isbasedon Licht, F. O. (2008). Global sugar market snapshot. International Sugar Journal, 110(1315), 385–386.
dc.relation.isbasedon Muhammad, A., Meade, B., Marquardt, D. R., & Mozaffarian, D. (2019). Global patterns in price elasticities of sugar-sweetened beverage intake and potential effectiveness of tax policy: a cross-sectional study of 164 countries by sex, age and global-income decile. BMJ Open, 8(9), e026390.
dc.relation.isbasedon Narayan, P., & Smyth, R. (2005). Cointegration of Stock Markets Between New Zealand, Australia and the G7 Economies: Search for Co-Movement Under Structural Change. Australian Economic Papers, 44(3), 231–247.
dc.relation.isbasedon Reinbergr, O. (2018). Situace v cukrovarnickém průmyslu po pádu produkčních kvót v EU [Sugar industry after the end of the EU sugar production quotas]. Listy Cukrovarnické a Řepařské, 134(5–6), 174–177. Retrieved from
dc.relation.isbasedon Resende, A. G., & Candido, O. (2015). Dependence analysis of ethanol, sugar, oil, brl/usd exchange rate and BOVESPA: A vine copula approach. Economia Aplicada, 19(3), 455–480.
dc.relation.isbasedon Savant, R. (2011). Fundamental analysis of the world sugar market. In F. J. Fabozzi, R. Füss & D. G. Kaiser (Eds.), The handbook of commodity investing (pp. 888–906).
dc.relation.isbasedon Smrčka, L., Hönig, V., & Hromádko, J. (2012). Kde je budoucnost cukrovarnictví v České Republice [Where is the future of sugar industry in the Czech Republic]. Listy Cukrovarnické a Řepařské, 128(5–6), 193–198. Retrieved from
dc.relation.isbasedon Solomon, S. (2014). Sugarcane agriculture and sugar industry in India: At a glance. Sugar Tech, 16(2), 113–124.
dc.relation.isbasedon StataCorp. (2013). Stata Time Series Reference Manual (Statistical Software – Release 13). College Station, TX: StataCorp LP.
dc.relation.isbasedon Sukati, M. (2013). Cointegration Analysis of Oil Prices and Consumer Price Index in South Africa using STATA Software (MPRA Paper No. 49797). Munich: University Library of Munich.
dc.relation.isbasedon Svatoš, M., Maitah, M., & Belova, A. (2013). World sugar market-basic development trends and tendencies. Agris on-Line Papers in Economics and Informatics, 5(2), 73–88.
dc.relation.isbasedon Tahir, S. H., Ali, F., Ghaffar, N., & Sabir, H. M. (2016). Causal relationship among trading volume, returns and stock volatility: Evidence from an emerging market. In Proceedings of the 28th International Business Information Management Association Conference – Vision 2020: Innovation Management, Development Sustainability, and Competitive Economic Growth (pp. 344–358). Seville, Spain.
dc.relation.isbasedon Tanner, L., Smutka, L., & Pulkrábek, J. (2018). Vývoj cen cukru v procesu financializace světové ekonomiky a vliv spekulace [Sugar price development in process of world economy financialization and influence of speculations]. Listy Cukrovarnické a Řepařské, 134(5–6), 195–201. Retrieved from
dc.relation.isbasedon Zuckerindustrie. (2017). World sugar market: World prices plunge on speculative selling amid new fears of a sugar glut in 2017/18. Zuckerindustrie, 142(1), 15–18.
dc.relation.isbasedon Zuckerindustrie. (2018). World sugar market: No light at the end of the tunnel? Zuckerindustrie, 143(6), 333–335
dc.rights CC BY-NC
dc.subject sugar en
dc.subject exchange/commodity stocks en
dc.subject cointegration en
dc.subject VECM en
dc.subject equilibrium en
dc.subject.classification O13
dc.subject.classification Q13
dc.subject.classification Q18
dc.title Cointegration Analysis of the World’s Sugar Market: The Existence of the Long-term Equilibrium en
dc.type Article en
dc.publisher.abbreviation TUL
dc.relation.isrefereed true
dc.identifier.doi 10.15240/tul/001/2020-4-002
dc.identifier.eissn 2336-5604
local.relation.volume 23
local.relation.issue 4
local.relation.abbreviation E+M cs
local.relation.abbreviation E&M en
local.faculty Faculty of Economics
local.citation.spage 23
local.citation.epage 38
local.access open
local.fulltext yes
local.filename EM_4_2020_2

Files in this item

This item appears in the following Collection(s)

Show simple item record

Search DSpace

Advanced Search


My Account