Liquidity Cost of Futures Contract to BM&FBOVESPA’s Fat Cattle
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Data de Publicação: | 2014 |
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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/5638 |
Resumo: | The liquidity cost is a variable that is not directly known by investors, being as important as other transaction costs involved in futures markets. Its relevance is related to the facts that it may result in the return reduction expected by investors, cause loss of potential market participants, interfere in the price that may not serve more as an information communication role, be essential to the decision of using a prospective contract, besides being a fundamental variable for the opportunities cost of hedgers and speculators. The purpose of the study was to analyze the liquidity cost concerning to the futures contract of BM&FBOSVESPA’s fat cattle, in the period between September 2010 and February 2013, utilizing intraday data, converting 355,311 registers of trades accomplished. For this, it was used models from Roll (1984), Chu et al. (1996), Thompson et al. (1987) and Wang et al. (1997), all largely discussed in the international literature. The results show that although the methodologies adopted are different, 3 of 4 methods showed high correlations among them. The contracts analyzed exhibited an average liquidity cost of R$ 0.13 per arroba, being relatively low when compared to the financial volume for each contract. Regarding to determinants, the maturity time had some impacts on results, because contracts over 80 business days until maturity and the ones till 5 business days had higher liquidity costs. Contracts with less trades accomplished, contracts negotiated and volume were the ones that had the highest liquidity cost. The contribution of this study is to generate fundamental information for market professionals, producers and market agents that take their decisions in uncertain environments seeking to measure the cost of a variable which is not directly presented and which is as important as the other costs involved in the futures contract. |
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Liquidity Cost of Futures Contract to BM&FBOVESPA’s Fat CattleCosto del Contrato de Liquidez del Futuro de Ganado BM&FBOVESPACusto de Liquidez do Contrato Futuro de Boi Gordo da BM&FBOVESPABM&FBOVESPAFutures contractFat CattleLiquidity costMarket Microstructure.BM&FBOVESPAcontratos de futurosGanadocosto de liquidezla microestructura del mercado.BM&FBOVESPAContrato futuroBoi GordoCusto de liquidezMicroestrutura de Mercado.The liquidity cost is a variable that is not directly known by investors, being as important as other transaction costs involved in futures markets. Its relevance is related to the facts that it may result in the return reduction expected by investors, cause loss of potential market participants, interfere in the price that may not serve more as an information communication role, be essential to the decision of using a prospective contract, besides being a fundamental variable for the opportunities cost of hedgers and speculators. The purpose of the study was to analyze the liquidity cost concerning to the futures contract of BM&FBOSVESPA’s fat cattle, in the period between September 2010 and February 2013, utilizing intraday data, converting 355,311 registers of trades accomplished. For this, it was used models from Roll (1984), Chu et al. (1996), Thompson et al. (1987) and Wang et al. (1997), all largely discussed in the international literature. The results show that although the methodologies adopted are different, 3 of 4 methods showed high correlations among them. The contracts analyzed exhibited an average liquidity cost of R$ 0.13 per arroba, being relatively low when compared to the financial volume for each contract. Regarding to determinants, the maturity time had some impacts on results, because contracts over 80 business days until maturity and the ones till 5 business days had higher liquidity costs. Contracts with less trades accomplished, contracts negotiated and volume were the ones that had the highest liquidity cost. The contribution of this study is to generate fundamental information for market professionals, producers and market agents that take their decisions in uncertain environments seeking to measure the cost of a variable which is not directly presented and which is as important as the other costs involved in the futures contract. El coste de la liquidez es una variable que no se conoce directamente por los inversores, al ser tan importante como otros costos de transacción en los mercados de futuros. Su relevancia son los hechos que pueden dar lugar a la reducción de la rentabilidad esperada por los inversores, dar lugar a la pérdida de participantes potenciales del mercado, el precio no sirve más como la comunicación impresa de la información que es esencial para la decisión de utilizar un contrato de futuros, y ser un factor clave para el costo de oportunidad de los operadores de cobertura y los especuladores. El objetivo del estudio fue analizar el costo relacionado con la liquidez en relación con el contrato de futuros de ganado BM&FBOVESPA, entre septiembre de 2010 febrero de 2013, a partir de datos intradía, que contiene 355.311 registros de negocios realizados. Por lo tanto, se utilizaron los modelos de balance (1984), Chu et al. (1996), Thompson et al. (1987) y Wang et al. (1997), tanto tratado en profundidad en la literatura. Los resultados muestran que, aunque las metodologías utilizadas son diferentes, los tres métodos cuarta mostraron altas correlaciones entre ellos. Los contratos examinados tuvieron costo promedio de R$ 0,13 por arroba, que es relativamente bajo en comparación con el volumen financiero por cada contrato. En cuanto a la determinación del tiempo de maduración tuvo un impacto en los resultados debido a que los contratos de más de 80 días a su vencimiento y hasta 5 días a madurez poseían mayor coste de liquidez. Los contratos que se han realizado pequeños negocios números, contratos y volumen, fueron los que tuvieron mayor coste de liquidez. La contribución de este trabajo es generar información fundamental para los profesionales del mercado, los productores y los agentes del mercado que toman decisiones en entornos de incertidumbre, que tratan de medir el costo de una variable que no se presente en forma directa y es tan importante como los otros costos involucrado en el contrato de futuros.O custo de liquidez é uma variável que não é diretamente conhecida pelos investidores, sendo tão importante quanto os demais custos de transação envolvidos em mercados futuros. Sua relevância são os fatos de poder resultar na redução do retorno esperado pelos investidores, ocorrer perda de participantes potenciais no mercado, o preço não servir mais como papel de comunicação de informação, ser essencial para a decisão da utilização de um contrato futuro, além de ser uma variável fundamental para o custo de oportunidades de hedgers e especuladores. O propósito do referente trabalho foi analisar o custo de liquidez relativo ao contrato futuro de boi gordo da BM&FBOVESPA, no período de setembro de 2010 a fevereiro de 2013, utilizando dados intradiários, contendo 355.311 registros de negócios efetuados. Para tanto foram utilizados os modelos de Roll (1984), Chu et al. (1996), Thompson et al. (1987) e Wang et al. (1997), ambos bastante discutidos na literatura internacional. Os resultados mostram que, embora as metodologias adotadas sejam diferentes, 3 dos 4 métodos apresentaram correlações elevadas entre eles. Os contratos analisados apresentaram custo de liquidez médio de R$ 0,13 por arroba, sendo relativamente baixo quando comparado ao volume financeiro destinado para cada contrato. Quanto aos determinantes, o tempo de maturidade teve impactos nos resultados, pois os contratos acima de 80 dias úteis até o vencimento e de até 5 dias úteis até o vencimento possuíram custo de liquidez mais elevados. Os contratos que tiveram menores números de negócios efetuados, contratos negociados e volume, foram os que tiveram maiores custo de liquidez. A contribuição deste estudo está na geração de informações fundamentais para profissionais do mercado, produtores e agentes do mercado, que tomam suas decisões em ambientes de incertezas, buscando mensurar o custo de uma variável que não é diretamente apresentada e é tão importante quanto aos demais custos envolvidos no contrato futuro.Editora Mackenzie2014-09-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPesquisa Empírica Descritivaapplication/pdfapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/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/5638Revista de Administração Mackenzie; Vol. 15 No. 4 (2014)Revista de Administração Mackenzie; Vol. 15 Núm. 4 (2014)Revista de Administração Mackenzie (Mackenzie Management Review); v. 15 n. 4 (2014)1678-69711518-6776reponame:RAM. Revista de Administração Mackenzieinstname:Universidade Presbiteriana Mackenzie (MACKENZIE)instacron:MACKENZIEporhttps://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/5077https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8890https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8891https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8892https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8893https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8894https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8895https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8896Copyright (c) 2015 Revista de Administração Mackenzieinfo:eu-repo/semantics/openAccessMarquezin, Charles LuanMattos, Leonardo Bornacki de2014-11-04T16:58:07Zoai:ojs.editorarevistas.mackenzie.br:article/5638Revistahttps://editorarevistas.mackenzie.br/index.php/RAM/PUBhttps://editorarevistas.mackenzie.br/index.php/RAM/oairevista.adm@mackenzie.br1678-69711518-6776opendoar:2024-04-19T17:00:56.285980RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (MACKENZIE)false |
dc.title.none.fl_str_mv |
Liquidity Cost of Futures Contract to BM&FBOVESPA’s Fat Cattle Costo del Contrato de Liquidez del Futuro de Ganado BM&FBOVESPA Custo de Liquidez do Contrato Futuro de Boi Gordo da BM&FBOVESPA |
title |
Liquidity Cost of Futures Contract to BM&FBOVESPA’s Fat Cattle |
spellingShingle |
Liquidity Cost of Futures Contract to BM&FBOVESPA’s Fat Cattle Marquezin, Charles Luan BM&FBOVESPA Futures contract Fat Cattle Liquidity cost Market Microstructure. BM&FBOVESPA contratos de futuros Ganado costo de liquidez la microestructura del mercado. BM&FBOVESPA Contrato futuro Boi Gordo Custo de liquidez Microestrutura de Mercado. |
title_short |
Liquidity Cost of Futures Contract to BM&FBOVESPA’s Fat Cattle |
title_full |
Liquidity Cost of Futures Contract to BM&FBOVESPA’s Fat Cattle |
title_fullStr |
Liquidity Cost of Futures Contract to BM&FBOVESPA’s Fat Cattle |
title_full_unstemmed |
Liquidity Cost of Futures Contract to BM&FBOVESPA’s Fat Cattle |
title_sort |
Liquidity Cost of Futures Contract to BM&FBOVESPA’s Fat Cattle |
author |
Marquezin, Charles Luan |
author_facet |
Marquezin, Charles Luan Mattos, Leonardo Bornacki de |
author_role |
author |
author2 |
Mattos, Leonardo Bornacki de |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Marquezin, Charles Luan Mattos, Leonardo Bornacki de |
dc.subject.por.fl_str_mv |
BM&FBOVESPA Futures contract Fat Cattle Liquidity cost Market Microstructure. BM&FBOVESPA contratos de futuros Ganado costo de liquidez la microestructura del mercado. BM&FBOVESPA Contrato futuro Boi Gordo Custo de liquidez Microestrutura de Mercado. |
topic |
BM&FBOVESPA Futures contract Fat Cattle Liquidity cost Market Microstructure. BM&FBOVESPA contratos de futuros Ganado costo de liquidez la microestructura del mercado. BM&FBOVESPA Contrato futuro Boi Gordo Custo de liquidez Microestrutura de Mercado. |
description |
The liquidity cost is a variable that is not directly known by investors, being as important as other transaction costs involved in futures markets. Its relevance is related to the facts that it may result in the return reduction expected by investors, cause loss of potential market participants, interfere in the price that may not serve more as an information communication role, be essential to the decision of using a prospective contract, besides being a fundamental variable for the opportunities cost of hedgers and speculators. The purpose of the study was to analyze the liquidity cost concerning to the futures contract of BM&FBOSVESPA’s fat cattle, in the period between September 2010 and February 2013, utilizing intraday data, converting 355,311 registers of trades accomplished. For this, it was used models from Roll (1984), Chu et al. (1996), Thompson et al. (1987) and Wang et al. (1997), all largely discussed in the international literature. The results show that although the methodologies adopted are different, 3 of 4 methods showed high correlations among them. The contracts analyzed exhibited an average liquidity cost of R$ 0.13 per arroba, being relatively low when compared to the financial volume for each contract. Regarding to determinants, the maturity time had some impacts on results, because contracts over 80 business days until maturity and the ones till 5 business days had higher liquidity costs. Contracts with less trades accomplished, contracts negotiated and volume were the ones that had the highest liquidity cost. The contribution of this study is to generate fundamental information for market professionals, producers and market agents that take their decisions in uncertain environments seeking to measure the cost of a variable which is not directly presented and which is as important as the other costs involved in the futures contract. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-09-10 |
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info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Pesquisa Empírica Descritiva |
format |
article |
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publishedVersion |
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https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638 |
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https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638 |
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por |
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por |
dc.relation.none.fl_str_mv |
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/5077 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8890 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8891 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8892 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8893 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8894 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8895 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/5638/8896 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2015 Revista de Administração Mackenzie info:eu-repo/semantics/openAccess |
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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. 15 No. 4 (2014) Revista de Administração Mackenzie; Vol. 15 Núm. 4 (2014) Revista de Administração Mackenzie (Mackenzie Management Review); v. 15 n. 4 (2014) 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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