Normal backwardation é normal no mercado futuro brasileiro?

Detalhes bibliográficos
Autor(a) principal: Santos, José Evaristo dos
Data de Publicação: 1998
Tipo de documento: Relatório
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/3078
Resumo: The resarch tests whether what Keynes coined as normal backwardation is a feature of the Brazilian futures market. Four futures contracts which trade at BM&F Bolsa de Mercadorias e Futuros have been studied, namely, Ibovespa index futures contract, American dollar futures contract, cattle futures contract, and coffee futures contract. The study covers the July 1994 to September 1997 period. Each futures contract was subject to four tests suggested by the testable implications ot Keynes hypothesis. Our results lead to the conclusion that normal backwardation is not a normal feature in the Brazilian futures market. This is in line with what many authors have found in international markets.
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spelling Santos, José Evaristo dosEscolas::EAESP2009-10-27T17:28:51Z2009-10-27T17:28:51Z1998-01-01T00:00:00Z19981998;15http://hdl.handle.net/10438/3078The resarch tests whether what Keynes coined as normal backwardation is a feature of the Brazilian futures market. Four futures contracts which trade at BM&F Bolsa de Mercadorias e Futuros have been studied, namely, Ibovespa index futures contract, American dollar futures contract, cattle futures contract, and coffee futures contract. The study covers the July 1994 to September 1997 period. Each futures contract was subject to four tests suggested by the testable implications ot Keynes hypothesis. Our results lead to the conclusion that normal backwardation is not a normal feature in the Brazilian futures market. This is in line with what many authors have found in international markets.A pesquisa testa a existência, no mercado futuro brasileiro, do fenômeno que Keynes denominou de normal backwardation, isto é, a hipótese de que os preços futuros não são estimadores não viesados (unbiased estimators) do preço à vista esperado para o futuro. Quatro contratos futuros negociados na BM&F Bolsa de Mercadorias e Futuros foram estudados, a saber, futuro de Ibovespa, futuro de dólar comercial, futuro de boi gordo e futuro de café arábica, cobrindo o período de julho de 1994 a setembro de 1997. Cada contrato futuro citado foi submetido a quatro testes, sugeridos pelas implicações da hipótese de Keynes. Nossos resultados indicam que normal backwardation não é normal no mercado futuro brasileiro, repetindo as conclusões de vários estudos internacionais.porRelatório de pesquisa FGV/EAESP/NPP;n.15Backwardation - BrasilMercados Futuros - BrasilAdministração de empresasContangoNormal backwardation é normal no mercado futuro brasileiro?Normal backwardation: is it normal in the Brazilian futures market?info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/reportreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALP00138_1.pdfapplication/pdf192586https://repositorio.fgv.br/bitstreams/0c9c2f27-3327-4f58-8e67-3d8b11c81aaf/downloadec7172184f40d791c19e601254069909MD51TEXTP00138_1.pdf.txtP00138_1.pdf.txtExtracted texttext/plain48122https://repositorio.fgv.br/bitstreams/ef306a27-a222-4f91-95a7-7e853848bc9d/downloadd94100a6e57d4244ae86fea8258fe53fMD56THUMBNAILP00138_1.pdf.jpgP00138_1.pdf.jpgGenerated Thumbnailimage/jpeg4765https://repositorio.fgv.br/bitstreams/af024e48-0e99-440e-a8ce-1766ce632d28/download160e3850d4e2f332e621f69872d070e8MD5710438/30782023-11-09 20:14:24.273open.accessoai:repositorio.fgv.br:10438/3078https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T20:14:24Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.por.fl_str_mv Normal backwardation é normal no mercado futuro brasileiro?
dc.title.alternative.eng.fl_str_mv Normal backwardation: is it normal in the Brazilian futures market?
title Normal backwardation é normal no mercado futuro brasileiro?
spellingShingle Normal backwardation é normal no mercado futuro brasileiro?
Santos, José Evaristo dos
Backwardation - Brasil
Mercados Futuros - Brasil
Administração de empresas
Contango
title_short Normal backwardation é normal no mercado futuro brasileiro?
title_full Normal backwardation é normal no mercado futuro brasileiro?
title_fullStr Normal backwardation é normal no mercado futuro brasileiro?
title_full_unstemmed Normal backwardation é normal no mercado futuro brasileiro?
title_sort Normal backwardation é normal no mercado futuro brasileiro?
author Santos, José Evaristo dos
author_facet Santos, José Evaristo dos
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EAESP
dc.contributor.author.fl_str_mv Santos, José Evaristo dos
dc.subject.por.fl_str_mv Backwardation - Brasil
Mercados Futuros - Brasil
topic Backwardation - Brasil
Mercados Futuros - Brasil
Administração de empresas
Contango
dc.subject.area.por.fl_str_mv Administração de empresas
dc.subject.bibliodata.por.fl_str_mv Contango
description The resarch tests whether what Keynes coined as normal backwardation is a feature of the Brazilian futures market. Four futures contracts which trade at BM&F Bolsa de Mercadorias e Futuros have been studied, namely, Ibovespa index futures contract, American dollar futures contract, cattle futures contract, and coffee futures contract. The study covers the July 1994 to September 1997 period. Each futures contract was subject to four tests suggested by the testable implications ot Keynes hypothesis. Our results lead to the conclusion that normal backwardation is not a normal feature in the Brazilian futures market. This is in line with what many authors have found in international markets.
publishDate 1998
dc.date.created.fl_str_mv 1998-01-01T00:00:00Z
dc.date.issued.fl_str_mv 1998
dc.date.accessioned.fl_str_mv 2009-10-27T17:28:51Z
dc.date.available.fl_str_mv 2009-10-27T17:28:51Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/report
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/3078
dc.identifier.sici.none.fl_str_mv 1998;15
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dc.language.iso.fl_str_mv por
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dc.relation.ispartofseries.por.fl_str_mv Relatório de pesquisa FGV/EAESP/NPP;n.15
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