This study investigates the exposure of dairy firm stock prices to the prices of dairy product futures, in terms of returns and volatility, from May 2013 to April 2018. Stock price returns are regressed against an index of the futures price returns to four dairy products – milk, cheese, butter and dry whey – to isolate the effects of the dairy futures price returns. Dairy product futures price returns are found to be significant in the regression in the first three years of the sample period, with a mean coefficient of −0.024. Using the Diebold‐Yilmaz volatility spillover method of forecast error variance decomposition, we show that the volatility of the four dairy product futures accounted for an average of 5.49 per cent of the volatility of dairy stock prices. These results suggest that the prices of dairy firms have minimal exposure to dairy product futures prices. This has implications for dairy firms and investors, who seek to understand volatility and returns in the dairy products and the stocks they trade in, and for policymakers, who seek to control or mitigate undesirable dairy product price volatility.

中文翻译：

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乳制品期货和公司价值的共同变动：收益和波动

这项研究调查了2013年5月至2018年4月期间，乳制品公司的股票价格对乳制品期货价格的风险回报率和波动率。将股票价格收益率与四种乳制品的期货价格收益率指数进行回归-牛奶，奶酪，黄油和干乳清–隔离乳制品期货价格回报的影响。发现乳制品期货的价格回报在样本期的前三年中具有显着的回归，平均系数为-0.024。使用预测误差方差分解的Diebold-Yilmaz波动溢出方法，我们显示四种乳制品期货的波动平均占乳制品股价波动的5.49％。这些结果表明，乳制品公司的价格对乳制品期货价格的影响最小。这对试图了解乳制品及其交易股票的波动性和回报的乳品公司和投资者，以及试图控制或减轻不良乳制品价格波动性的决策者具有影响。