Sugar price dynamics at daily frequency: A structural equation modelling approach
| dc.contributor.author | Malátková, Tereza | |
| dc.contributor.author | Gangur, Mikuláš | |
| dc.date.accessioned | 2026-01-29T09:54:19Z | |
| dc.date.available | 2026-01-29T09:54:19Z | |
| dc.date.issued | 2025 | |
| dc.description.abstract-translated | This study examines the impact of daily fluctuations in financial and commodity markets on sugar returns. Using a multi-market Structural Equation Model (SEM), three latent constructs are identified: Fundament (a proxy for risk sentiment), Stock (equity market), and Commodity (commodity market). The analysis employs daily log-returns from 2005 to 2025, with missing observations treated using Full Information Maximum Likelihood (FIML) and parameters estimated via robust Maximum Likelihood with Robust standard errors (MLR). The confirmatory factor analysis (CFA) demonstrates satisfactory model fit, indicating that the commodity factor is primarily shaped by energy contracts, whereas the association between equity indicators and the Stock factor is less pronounced. Standard validity tests (HTMT, Fornell–Larcker) confirm the discriminant validity of the latent constructs. In the structural equation, the commodity factor emerges as the dominant short-term driver of sugar price fluctuations, while the effects of equity sentiment and fundamental risk factors diminish once this channel is considered. The model explains a moderate but economically meaningful share of the variance in daily sugar returns. These findings highlight the interconnectedness between energy and agricultural markets and underscore the relevance of cross-market linkages in commodity price formation. From a practical perspective, they suggest that sugar risk management and hedging strategies should be primarily aligned with the dynamics of energy markets rather than with broader financial sentiment indicators. | en |
| dc.format | 9 s. | cs |
| dc.format.mimetype | application/pdf | |
| dc.identifier.doi | https://doi.org/10.24132/jbt.2025.15.2.44_52 | |
| dc.identifier.issn | 2788-0079 | |
| dc.identifier.uri | http://hdl.handle.net/11025/64540 | |
| dc.language.iso | en | en |
| dc.publisher | Západočeská univerzita v Plzni | cs |
| dc.rights | © Západočeská univerzita v Plzni | cs |
| dc.rights.access | openAccess | en |
| dc.subject | energie | cs |
| dc.subject | CFA | cs |
| dc.subject | komoditní trh | cs |
| dc.subject | SEM | cs |
| dc.subject | cukr | cs |
| dc.subject.translated | energy | en |
| dc.subject.translated | CFA | en |
| dc.subject.translated | commodity market | en |
| dc.subject.translated | SEM | en |
| dc.subject.translated | sugar | en |
| dc.title | Sugar price dynamics at daily frequency: A structural equation modelling approach | en |
| dc.type | článek | cs |
| dc.type | article | en |
| dc.type.status | Peer-reviewed | en |
| dc.type.version | publishedVersion | en |
| local.files.count | 1 | * |
| local.files.size | 252770 | * |
| local.has.files | yes | * |
Files
Original bundle
1 - 1 out of 1 results
No Thumbnail Available
- Name:
- 05_Malatkova_Gangur.pdf
- Size:
- 246.85 KB
- Format:
- Adobe Portable Document Format
License bundle
1 - 1 out of 1 results
No Thumbnail Available
- Name:
- license.txt
- Size:
- 1.71 KB
- Format:
- Item-specific license agreed upon to submission
- Description: