Spectral Analysis and Filtering Rules Usage in Trades with the Brazilian Future Soybean Contract
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | RAM. Revista de Administração Mackenzie |
Texto Completo: | https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880 |
Resumo: | The aim was to examine the semi-strong efficient market hypothesis (EMH) in soybean futures contracts in Brazil, traded in BM&F-BOVESPA, applying spectral analysis and filtering rules. The comparative results in the theory indicate different conclusions about the EMH in agricultural commodity futures markets. However the market efficiency seems not confirmed for the Brazilian soybean futures prices. After testing, we rejected the random walk model for the Brazilian soybean futures settlement prices. The evaluation illustrated the contract arbitrage potential, subsequently classified applying filtering rules based on various ranges of the grain percentage futures settlement prices in the exchange. We simulated various operational strategies for buying and selling in the sample period from 2004 to 2010 based on the intervals. Sorting the financial results and percentage of lucrative operations, we identified certain sub-periods with higher incidence of positive gains. The difference between the results may be attributed to the recent commodity prices regime, prevailing in the markets after 2008. Also, the examined potential profitability in the BM&F-BOVESPA soybean future contract market might attract new hedging and speculative operations, raising the trading volume. The increase in business will consolidate the contract as an efficient alternative to mitigate risk and generate profitable operations in the Brazilian agricultural futures market. Additionally, the process of price discovery evaluating the constellation of futures prices of a contract designed with the characteristics of the Brazilian soybean will increase the administrative efficiency of the grain marketing process. The analysis is novel in the Brazilian literature. |
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Spectral Analysis and Filtering Rules Usage in Trades with the Brazilian Future Soybean ContractEl Uso del Análisis Espectral y las Reglas de Filtrado en las Operaciones de Contratos de Futuros de Soja en BrasilUso de Análise Espectral e Regras de Filtragem em Operações com Contratos Futuros de Soja no BrasilAnálise espectralRegras de filtragemMercado futuroSojaBM&F-BOVESPAThe aim was to examine the semi-strong efficient market hypothesis (EMH) in soybean futures contracts in Brazil, traded in BM&F-BOVESPA, applying spectral analysis and filtering rules. The comparative results in the theory indicate different conclusions about the EMH in agricultural commodity futures markets. However the market efficiency seems not confirmed for the Brazilian soybean futures prices. After testing, we rejected the random walk model for the Brazilian soybean futures settlement prices. The evaluation illustrated the contract arbitrage potential, subsequently classified applying filtering rules based on various ranges of the grain percentage futures settlement prices in the exchange. We simulated various operational strategies for buying and selling in the sample period from 2004 to 2010 based on the intervals. Sorting the financial results and percentage of lucrative operations, we identified certain sub-periods with higher incidence of positive gains. The difference between the results may be attributed to the recent commodity prices regime, prevailing in the markets after 2008. Also, the examined potential profitability in the BM&F-BOVESPA soybean future contract market might attract new hedging and speculative operations, raising the trading volume. The increase in business will consolidate the contract as an efficient alternative to mitigate risk and generate profitable operations in the Brazilian agricultural futures market. Additionally, the process of price discovery evaluating the constellation of futures prices of a contract designed with the characteristics of the Brazilian soybean will increase the administrative efficiency of the grain marketing process. The analysis is novel in the Brazilian literature.El objetivo era examinar la hipótesis de la eficiencia semi-fuerte del mercado (EMH) en los contratos futuros de la soja en Brasil, que cotiza en la BM & F BOVESPA, mediante la aplicación de análisis espectral y las reglas de filtrado. Los resultados comparativos de la teoría indican diferentes conclusiones sobre el EMH en los mercados de futuros agrícolas. Sin embargo, la eficiencia del mercado no parece confirmarse en los precios futuros de la soja. Después de las pruebas, hemos rechazado el modelo de paseo aleatorio de los precios futuros de los ajustes de soja de Brasil. La evaluación se ilustra el potencial de arbitraje de los contratos, clasificados posteriormente la aplicación de las reglas de filtrado basado en diversos rangos de porcentaje de ajuste de precios del grano en la bolsa. La simulación de diferentes estrategias de operación para la compra y venta en el período de la muestra desde 2004 hasta 2010 sobre la base de intervalos. Clasificación de los resultados financieros y el porcentaje de negocio lucrativo correcta, hemos identificado algunos sub-períodos con mayor incidencia de ganancias positivas. La diferencia entre los resultados se pueden atribuir al sistema reciente de precios de los productos, vigentes en el mercado después de 2008. También se examina la rentabilidad potencial en el mercado de futuros de la soja-BM & F BOVESPA puede atraer a nuevos cobertura y la especulación, el aumento del volumen de comercio. El aumento en los negocios se consolidará el contrato como una alternativa eficiente para mitigar el riesgo y la generación de operaciones rentables en el mercado brasileño de futuros agrícolas. Además, el proceso de descubrimiento de precios la evaluación de la constelación de los precios de futuros de un contrato diseñado con las características de la soja brasileña aumentará la eficiencia administrativa del proceso de comercialización del grano. El análisis es novedoso em la literatura brasileña.Objetivou-se examinar a hipótese da eficiência do mercado (HEM) nos contratos futuros de soja do Brasil, negociados na BM&F-BOVESPA, aplicando análise espectral e regras de filtragem. Os resultados comparados da teoria indicam conclusões diversas quanto à HEM em mercados futuros de commodities agropecuárias. Entretanto a eficiência de mercado parece não se confirmar em preços futuros de soja. Após o teste, rejeitou-se o modelo de passeio aleatório para os preços futuros de ajuste da soja brasileiros. A avaliação ilustrou o potencial de arbitragem dos contratos, classificado posteriormente, aplicando-se regras de filtragem com base em diversos intervalos de variação percentual dos preços de ajuste do grão na bolsa. Compuseram-se diversas estratégias operacionais de compra e venda no período amostral entre 2004 a 2010 com base nos intervalos. Classificando os resultados financeiros e percentuais de acertos lucrativos dos negócios, identificaram-se determinados subperíodos com maior incidência de ganhos positivos. A diferença entre os resultados pode ser atribuída ao recente regime de preços de commodities, prevalecente no mercado após 2008. Também, o potencial de lucratividade possibilita atrair novas operações de hedge e especulativas para o mercado futuro de soja brasileiro, aumentando o volume de negócios no mercado futuro de soja da BM&F-BOVESPA. A lucratividade potencial examinada pode atrair novas operações de hedge e especulação, incrementando o volume negociado. O aumento dos negócios consolidará o contrato como uma alternativa eficiente de mitigação de risco e geradora de operações lucrativas no mercado futuro agropecuário brasileiro. Adicionalmente, o processo de descoberta de preços avaliando a constelação de preços futuros de um contrato desenhado com as características próprias da soja brasileira aumentará a eficácia administrativa do processo de comercialização do grão. A análise é inédita na literatura brasileira.Editora Mackenzie2013-04-23info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionAnálise Espectral e Regras de Filtragemapplication/pdfapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/pdfapplication/pdfapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documenthttps://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880Revista de Administração Mackenzie; Vol. 14 No. 4 (2013)Revista de Administração Mackenzie; Vol. 14 Núm. 4 (2013)Revista de Administração Mackenzie (Mackenzie Management Review); v. 14 n. 4 (2013)1678-69711518-6776reponame:RAM. Revista de Administração Mackenzieinstname:Universidade Presbiteriana Mackenzie (MACKENZIE)instacron:MACKENZIEporhttps://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/4442https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8432https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8433https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8434https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8435https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8436https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8437https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8438https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8439https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8440https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8441https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8442https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8651https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8652https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8653https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8654https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8655https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8656https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8657https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8658https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8659https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8660https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8661https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8662https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8663https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8664Copyright (c) 2015 Revista de Administração Mackenzieinfo:eu-repo/semantics/openAccessde Souza, Waldemar Antonio da Rochado Carmo Filho, Manoel MartinsMartines-Filho, João GomesMarques, Pedro Valentim2013-09-04T17:50:23Zoai:ojs.editorarevistas.mackenzie.br:article/3880Revistahttps://editorarevistas.mackenzie.br/index.php/RAM/PUBhttps://editorarevistas.mackenzie.br/index.php/RAM/oairevista.adm@mackenzie.br1678-69711518-6776opendoar:2024-04-19T17:00:50.155006RAM. 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dc.title.none.fl_str_mv |
Spectral Analysis and Filtering Rules Usage in Trades with the Brazilian Future Soybean Contract El Uso del Análisis Espectral y las Reglas de Filtrado en las Operaciones de Contratos de Futuros de Soja en Brasil Uso de Análise Espectral e Regras de Filtragem em Operações com Contratos Futuros de Soja no Brasil |
title |
Spectral Analysis and Filtering Rules Usage in Trades with the Brazilian Future Soybean Contract |
spellingShingle |
Spectral Analysis and Filtering Rules Usage in Trades with the Brazilian Future Soybean Contract de Souza, Waldemar Antonio da Rocha Análise espectral Regras de filtragem Mercado futuro Soja BM&F-BOVESPA |
title_short |
Spectral Analysis and Filtering Rules Usage in Trades with the Brazilian Future Soybean Contract |
title_full |
Spectral Analysis and Filtering Rules Usage in Trades with the Brazilian Future Soybean Contract |
title_fullStr |
Spectral Analysis and Filtering Rules Usage in Trades with the Brazilian Future Soybean Contract |
title_full_unstemmed |
Spectral Analysis and Filtering Rules Usage in Trades with the Brazilian Future Soybean Contract |
title_sort |
Spectral Analysis and Filtering Rules Usage in Trades with the Brazilian Future Soybean Contract |
author |
de Souza, Waldemar Antonio da Rocha |
author_facet |
de Souza, Waldemar Antonio da Rocha do Carmo Filho, Manoel Martins Martines-Filho, João Gomes Marques, Pedro Valentim |
author_role |
author |
author2 |
do Carmo Filho, Manoel Martins Martines-Filho, João Gomes Marques, Pedro Valentim |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
de Souza, Waldemar Antonio da Rocha do Carmo Filho, Manoel Martins Martines-Filho, João Gomes Marques, Pedro Valentim |
dc.subject.por.fl_str_mv |
Análise espectral Regras de filtragem Mercado futuro Soja BM&F-BOVESPA |
topic |
Análise espectral Regras de filtragem Mercado futuro Soja BM&F-BOVESPA |
description |
The aim was to examine the semi-strong efficient market hypothesis (EMH) in soybean futures contracts in Brazil, traded in BM&F-BOVESPA, applying spectral analysis and filtering rules. The comparative results in the theory indicate different conclusions about the EMH in agricultural commodity futures markets. However the market efficiency seems not confirmed for the Brazilian soybean futures prices. After testing, we rejected the random walk model for the Brazilian soybean futures settlement prices. The evaluation illustrated the contract arbitrage potential, subsequently classified applying filtering rules based on various ranges of the grain percentage futures settlement prices in the exchange. We simulated various operational strategies for buying and selling in the sample period from 2004 to 2010 based on the intervals. Sorting the financial results and percentage of lucrative operations, we identified certain sub-periods with higher incidence of positive gains. The difference between the results may be attributed to the recent commodity prices regime, prevailing in the markets after 2008. Also, the examined potential profitability in the BM&F-BOVESPA soybean future contract market might attract new hedging and speculative operations, raising the trading volume. The increase in business will consolidate the contract as an efficient alternative to mitigate risk and generate profitable operations in the Brazilian agricultural futures market. Additionally, the process of price discovery evaluating the constellation of futures prices of a contract designed with the characteristics of the Brazilian soybean will increase the administrative efficiency of the grain marketing process. The analysis is novel in the Brazilian literature. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-04-23 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Análise Espectral e Regras de Filtragem |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880 |
url |
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880 |
dc.language.iso.fl_str_mv |
por |
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por |
dc.relation.none.fl_str_mv |
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/4442 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8432 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8433 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8434 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8435 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8436 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8437 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8438 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8439 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8440 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8441 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8442 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8651 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8652 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8653 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8654 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8655 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8656 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8657 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8658 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8659 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8660 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8661 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8662 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8663 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/3880/8664 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2015 Revista de Administração Mackenzie info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2015 Revista de Administração Mackenzie |
eu_rights_str_mv |
openAccess |
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Editora Mackenzie |
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Editora Mackenzie |
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Revista de Administração Mackenzie; Vol. 14 No. 4 (2013) Revista de Administração Mackenzie; Vol. 14 Núm. 4 (2013) Revista de Administração Mackenzie (Mackenzie Management Review); v. 14 n. 4 (2013) 1678-6971 1518-6776 reponame:RAM. Revista de Administração Mackenzie instname:Universidade Presbiteriana Mackenzie (MACKENZIE) instacron:MACKENZIE |
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RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (MACKENZIE) |
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revista.adm@mackenzie.br |
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