What the study found
The study found that Southern Oscillation Index (SOI) signals, which track El Niño and La Niña climate conditions, are linked to grain futures returns and volatility, with the strongest effects in SAFEX maize. The authors report that these climate-linked effects vary across time horizons and frequency bands.
Why the authors say this matters
The authors conclude that SOI-based signals may provide early warning signals for grain market hedging. They also say the findings highlight regional differences in climate vulnerability.
What the researchers tested
The researchers studied time-frequency transmission between SOI and grain futures using CBOT corn, CBOT soybeans, and SAFEX maize data. They used partial wavelet coherence, multi-scale wavelet decomposition, Granger causality, and wavelet quantile regression, while controlling for macro-financial confounders.
What worked and what didn't
The results show pronounced scale-dependent SOI spillovers in SAFEX maize, with co-movements intensifying at medium- to long-term horizons. Both 30-day and 90-day SOI aggregates had statistically significant forecasting power for SAFEX maize returns and volatility, while CBOT corn and soybean futures showed weaker and more episodic sensitivity.
What to keep in mind
The abstract does not provide detailed limitations beyond the study scope. The findings are limited to the grain futures markets and methods described in the summary.
Key points
- SOI signals were linked to grain futures returns and volatility.
- SAFEX maize showed the strongest and most consistent spillovers.
- 30-day and 90-day SOI averages significantly forecast SAFEX maize returns and volatility.
- CBOT corn and soybean futures were less sensitive and more episodic.
- The authors say SOI signals may help with grain market hedging.
Disclosure
- Research title:
- SOI spillovers differ across grain futures markets
- Authors:
- Ayesha Sayed, Chun‐Sung Huang, Christo Auret
- Institutions:
- University of Cape Town, University of Cape Town, University of the Witwatersrand
- Publication date:
- 2026-02-27
- OpenAlex record:
- View
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