Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias
Silva, Priscila Fulvia Bittencourt da
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We used agricultural commodities futures prices to identify speculative bubbles in the Brazilian derivatives markets between 2008 and 2017. We applied the Generalized Supremum Augmented Dickey-Fuller (GSADF) test to analyze if corn, soybeans, coffee and live cattle futures prices moved temporarily away from their fundamental values. This study aimed to fill in a gap in the literature that analyses the existence of speculative bubbles in the Brazilian agricultural futures markets. Our findings support evidence for multiple periods of bubbles in all markets, except for coffee. We found that 40,4% of the bubbles were short-lived, lasting between 3 and 8 days, and that on average, there were more positive (60%) than negative bubbles (40%). Most of the bubbles events occurred in corn, which represented 87% of the total bubbles episodes during the analyzed period. We verified that prices movements during a speculative period were asymmetric, as the initial price variation was usually larger than the last. We expect that our findings can be useful for market participants who trade futures contracts as a way to hedge their cash position, or for speculative reasons. In addition, a better understanding of prices behavior can help market participants to manage their portfolio risk, and help regulators to ensure that trading rules are respected, and markets function efficiently.
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