Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias
Resumo
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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