The Impact of Stock, Energy and Foreign Exchange Markets on the Sugar Market

This study examines the effect of financial factors on the sugar market by using GeneralizedAutoregressive Conditional Heteroskedasticity (GARCH) models. The results show thatchanges in capital and energy markets returns have a positive impact on the mean returnsof Sugar futures as opposed to changes in volatility returns of the exchange rate of the U.S.Dollar/ Yen that affect it negatively. Finally, the structural analysis of volatility with the GARCHmodel has shown that current volatility is more influenced by past volatility rather than by theprevious day shocks.