LIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETS

Detalhes bibliográficos
Autor(a) principal: TONIN,JULYERME MATHEUS
Data de Publicação: 2017
Outros Autores: COSTA JUNIOR,GERALDO, GOMES MARTINES FILHO,JOÃO
Tipo de documento: Artigo
Idioma: eng
Título da fonte: RAM. Revista de Administração Mackenzie
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712017000600201
Resumo: ABSTRACT Objective: The present study estimates the liquidity cost of the corn future contract traded on B3 (formerly BM&FBovespa) and compare it to the CME corn future contract, through five implicit bid-ask spread measures. Originality/value: The market microstructure approach, with its focus on high frequency data, reveals characteristics of the emerging agricultural markets (also known as thin markets), which were not evident in studies with daily frequency data. Design/methodology/approach: To analyze the performance of five cost estimators, the data used in our analysis consists of intraday series of future contracts of B3 and CME from September 1, 2015, to August 30, 2016. The methodology adopted includes these estimators: Roll model (1984); Model of Thompson & Waller (1987) model of Choi, Salandro & Shastri (1988);Model of Chu, Ding & Pyun (1996) and the model of Wang, Yau & Baptiste (1997). Findings: The liquidity cost is lower in CME’s future corn market than in B3, and the estimated cost of liquidity in CME’s future corn market is 2 to 3 cents (in R$/60-kgbag) while at BM & F the cost is 6 to 16 cents (in R$/60-kgbag).
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spelling LIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETSHigh frequency DataBid-ask spreadFutures marketCorn marketCommoditiesABSTRACT Objective: The present study estimates the liquidity cost of the corn future contract traded on B3 (formerly BM&FBovespa) and compare it to the CME corn future contract, through five implicit bid-ask spread measures. Originality/value: The market microstructure approach, with its focus on high frequency data, reveals characteristics of the emerging agricultural markets (also known as thin markets), which were not evident in studies with daily frequency data. Design/methodology/approach: To analyze the performance of five cost estimators, the data used in our analysis consists of intraday series of future contracts of B3 and CME from September 1, 2015, to August 30, 2016. The methodology adopted includes these estimators: Roll model (1984); Model of Thompson & Waller (1987) model of Choi, Salandro & Shastri (1988);Model of Chu, Ding & Pyun (1996) and the model of Wang, Yau & Baptiste (1997). Findings: The liquidity cost is lower in CME’s future corn market than in B3, and the estimated cost of liquidity in CME’s future corn market is 2 to 3 cents (in R$/60-kgbag) while at BM & F the cost is 6 to 16 cents (in R$/60-kgbag).Editora MackenzieUniversidade Presbiteriana Mackenzie2017-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712017000600201RAM. Revista de Administração Mackenzie v.18 n.6 2017reponame:RAM. Revista de Administração Mackenzieinstname:Universidade Presbiteriana Mackenzie (UPM)instacron:MACKENZIE10.1590/1678-69712017/administracao.v18n6p201-223info:eu-repo/semantics/openAccessTONIN,JULYERME MATHEUSCOSTA JUNIOR,GERALDOGOMES MARTINES FILHO,JOÃOeng2018-01-11T00:00:00Zoai:scielo:S1678-69712017000600201Revistahttps://www.scielo.br/j/ram/https://old.scielo.br/oai/scielo-oai.phprevista.adm@mackenzie.br1678-69711518-6776opendoar:2018-01-11T00:00RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (UPM)false
dc.title.none.fl_str_mv LIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETS
title LIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETS
spellingShingle LIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETS
TONIN,JULYERME MATHEUS
High frequency Data
Bid-ask spread
Futures market
Corn market
Commodities
title_short LIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETS
title_full LIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETS
title_fullStr LIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETS
title_full_unstemmed LIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETS
title_sort LIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETS
author TONIN,JULYERME MATHEUS
author_facet TONIN,JULYERME MATHEUS
COSTA JUNIOR,GERALDO
GOMES MARTINES FILHO,JOÃO
author_role author
author2 COSTA JUNIOR,GERALDO
GOMES MARTINES FILHO,JOÃO
author2_role author
author
dc.contributor.author.fl_str_mv TONIN,JULYERME MATHEUS
COSTA JUNIOR,GERALDO
GOMES MARTINES FILHO,JOÃO
dc.subject.por.fl_str_mv High frequency Data
Bid-ask spread
Futures market
Corn market
Commodities
topic High frequency Data
Bid-ask spread
Futures market
Corn market
Commodities
description ABSTRACT Objective: The present study estimates the liquidity cost of the corn future contract traded on B3 (formerly BM&FBovespa) and compare it to the CME corn future contract, through five implicit bid-ask spread measures. Originality/value: The market microstructure approach, with its focus on high frequency data, reveals characteristics of the emerging agricultural markets (also known as thin markets), which were not evident in studies with daily frequency data. Design/methodology/approach: To analyze the performance of five cost estimators, the data used in our analysis consists of intraday series of future contracts of B3 and CME from September 1, 2015, to August 30, 2016. The methodology adopted includes these estimators: Roll model (1984); Model of Thompson & Waller (1987) model of Choi, Salandro & Shastri (1988);Model of Chu, Ding & Pyun (1996) and the model of Wang, Yau & Baptiste (1997). Findings: The liquidity cost is lower in CME’s future corn market than in B3, and the estimated cost of liquidity in CME’s future corn market is 2 to 3 cents (in R$/60-kgbag) while at BM & F the cost is 6 to 16 cents (in R$/60-kgbag).
publishDate 2017
dc.date.none.fl_str_mv 2017-12-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712017000600201
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712017000600201
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/1678-69712017/administracao.v18n6p201-223
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Editora Mackenzie
Universidade Presbiteriana Mackenzie
publisher.none.fl_str_mv Editora Mackenzie
Universidade Presbiteriana Mackenzie
dc.source.none.fl_str_mv RAM. Revista de Administração Mackenzie v.18 n.6 2017
reponame:RAM. Revista de Administração Mackenzie
instname:Universidade Presbiteriana Mackenzie (UPM)
instacron:MACKENZIE
instname_str Universidade Presbiteriana Mackenzie (UPM)
instacron_str MACKENZIE
institution MACKENZIE
reponame_str RAM. Revista de Administração Mackenzie
collection RAM. Revista de Administração Mackenzie
repository.name.fl_str_mv RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (UPM)
repository.mail.fl_str_mv revista.adm@mackenzie.br
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