Using the prices of seven agricultural commodities over the period from 1980 to 2019, this study employs both an event study and GARCH modelling to capture whether and how natural disasters occurring in the main production centres of certain agricultural commodities affect their returns and price volatilities.

In a first step, we examine how natural disasters affect the prices and volatilities of the affected commodities. In a second step, we employ a series of ordinary least squares (OLS) regressions to examine what factors (e.g., disaster, commodity, and country characteristics) affect the abnormal return and abnormal volatility. Our study thus provides important insights for traders, hedgers, producers, and purchasers of agricultural commodities who are concerned about the rising risk of climate-induced events and how they may affect the agricultural commodity markets.