Purpose -- the objective of this thesis is to empirically test the level of interdependence across commodity markets in terms of return volatility spillover, namely, corn, wheat, soybeans and soybeans oil, and to uncover the impact of macroeconomic announcements on the measurement of integration among those commodities. This will help us to investigate the extent to which different agricultural commodities can be considered as an asset class and to determine whether portfolio diversification across different agricultural commodities can still lead to risk reduction benefits, in light of the ...