Bolhas especulativas e toxicidade no mercado futuro de milho brasileiro

Abstract

Speculative bubbles and toxicity in the Brazilian corn market are presented as the object of research in this study. In the face of the continuous expansion in corn production in Brazil and in the world, speculators have found in the commodity futures markets an investment alternative that is unrelated to the traditional sectors of the financial market, causing a “financialization” of commodities. In view of this, this work proposed to analyze whether such movements caused speculative bubbles in the Brazilian corn futures market. For this purpose, the settlement prices of the contract with maturity in September 2019 were used, as it is the most liquid compared to the others, traded on the B3 futures and commodities exchange. The BSADF test was used to identify the moments when prices have moved away from their fundamental values. In addition, aiming to understand how the presence of informed agents cause an imbalance in the market, making the flow of business toxic, a metric based on turnover, the VPIN, was applied to intraday prices. To understand the origins of bubble formation in the corn futures market, a logit binomial model was estimated. A total of 25 days with presence of bubbles were identified in the period, concentrated in October 2018 and in the months of April and May 2019. In view of the low volume of negotiations, results for the VPIN were obtained only after the month of March. The results of the logit model indicate that the variables VPIN, risk and spread are determining factors in the emergence of rational bubbles that periodically collapse. Since the presence of bubbles combined with a toxic flow of orders reduces the efficiency of the future market in offering protection in times of high volatility, it is of great importance that agents, generally producers, can identify price disturbances and what reasons away from their fundamental values.