Investigating the fluctuations of the food industry index in the public crisis (COVID-19 epidemic)

Document Type : Scientific paper

Authors

1 Msc. Student, Department of Agricultural Economics, Sari University of Agricultural Sciences and Natural Resources, Sari, Iran.

2 Assistant professor of the agricultural economics department of Sari University of Agricultural

3 Associate professor of the agricultural economics department of Sari University of Agricultural Sciences and Natural Resources, Sari, Iran

Abstract

Objectives: The effects of the spread of the COVID-19 virus on food supply chain companies and subsequently on the agricultural commodity exchange and food industries are evident;, food and agriculture stock returns during COVID-19 show differences from other sectors in terms of sensitivity to shocks. This study was conducted to investigate the fluctuations of the food industry index in the face of the six waves of COVID-19.
Study method: In this study, the daily data of Tehran Stock Exchange was used from the 2018 March 21 to 2022 March 22. Box-Jenkins method and ARCH and GARCH methods were used to investigate the fluctuations of the food industry index. To identify the best predictive model of the food industry index, among the 256 possible estimates, the best 20 models were presented using the differentiation method and Box-Jenkins technique.
Findings: The optimal equation for predicting the time series food industry index variable is SARIMA (7,1,6) (0,1,1) and the optimal equation for predicting its heterogeneity variance is GARCH (1,1).
Results: The results obtained from including the waves of the spread of COVID-19 in the optimal equation showed that the first, second, and third waves of the spread of COVID-19 have a significant effect on the fluctuations of the food industry index variable.

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History

  • Receive Date: 01 March 2024
  • Revise Date: 16 March 2024
  • Accept Date: 18 March 2024

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