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The aim of this research is to explore the volatility contagion among different agricultural commodity markets. For this purpose, this research make use of the copula-GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model for the daily spot prices of six major agriculture grain commodities including corn, wheat, soybeans, soya oil, cotton, and oat over the period from 2000 to 2019. Our results provide evidence that significant contagion effects and risk transmissions exist among different agricultural grain commodity markets, suggesting that potential speculation effects on one agricultural market could be contagious for another agricultural market and result an increase in volatility in agricultural product markets. Second, agricultural commodities appears to co-move symmetrically. We also find substantial extreme co-movements among agricultural commodity markets. This indicates that agricultural commodity markets tend to crash (boom) together during extreme events. Moreover, after the food crisis, contagion effects and risk transmissions among different agricultural commodity markets increased substantially. Fourth, we find that the strongest contagion effects and risk transmissions are between corn and soybeans, and the weakest contagion effects and risk transmissions are between soya oil cotton and between cotton and oat. Last, we document that the co-movement varies over time. Our findings hold important implications for modeling the co-movement by the copula-GARCH approach.

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