The Influence of Investors’ Behavior on Setting Coffee Futures Prices

Detalhes bibliográficos
Autor(a) principal: Serrão, Amílcar
Data de Publicação: 2015
Tipo de documento: Artigo
Idioma: por
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10174/16576
Resumo: The great challenge for this research work is to show that the biases of investors’ behavior can affect the formation of coffee futures prices. This research work uses auto-regressive conditional heteroscedasticity (ARCH) models to analyze results that show that the volatility has an impact on the formation of coffee futures prices. The positive volatility asymmetry coefficient of the TARCH model shows the presence of the leverage effect, where negative shocks have a greater impact on the volatility of returns in coffee futures prices than positive shocks. The presence of the leverage effect includes information related with investors’ behavior which has influence on the formation of coffee futures prices and corroborates the Prospect Theory. Model results also show that investors’ reactions to bad news are statistically significant in the coffee futures market and suggest that Behavioral Finance can contribute to the understanding of the formation of coffee futures prices.
id RCAP_9c1bcbeb8130f8cb20b6f83068499384
oai_identifier_str oai:dspace.uevora.pt:10174/16576
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling The Influence of Investors’ Behavior on Setting Coffee Futures PricesCoffee Futures PricesProspect TheoryVolatilityBehavioral FinanceThe great challenge for this research work is to show that the biases of investors’ behavior can affect the formation of coffee futures prices. This research work uses auto-regressive conditional heteroscedasticity (ARCH) models to analyze results that show that the volatility has an impact on the formation of coffee futures prices. The positive volatility asymmetry coefficient of the TARCH model shows the presence of the leverage effect, where negative shocks have a greater impact on the volatility of returns in coffee futures prices than positive shocks. The presence of the leverage effect includes information related with investors’ behavior which has influence on the formation of coffee futures prices and corroborates the Prospect Theory. Model results also show that investors’ reactions to bad news are statistically significant in the coffee futures market and suggest that Behavioral Finance can contribute to the understanding of the formation of coffee futures prices.International Journal of Managerial Studies and Research (IJMSR)2016-01-07T11:20:53Z2016-01-072015-10-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/16576http://hdl.handle.net/10174/16576porSerrão, Amílcar. 2015. The Influence of Investors’ Behavior on Setting Coffee Futures Prices.International Journal of Managerial Studies and Research (IJMSR).Volume 3, Issue 10, October 2015, PP 1-11, ISSN 2349-0330 (Print) & ISSN 2349-0349 (Online). www.arcjournals.orgaserrao@uevora.pt664Serrão, Amílcarinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T19:03:26Zoai:dspace.uevora.pt:10174/16576Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:08:56.138207Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The Influence of Investors’ Behavior on Setting Coffee Futures Prices
title The Influence of Investors’ Behavior on Setting Coffee Futures Prices
spellingShingle The Influence of Investors’ Behavior on Setting Coffee Futures Prices
Serrão, Amílcar
Coffee Futures Prices
Prospect Theory
Volatility
Behavioral Finance
title_short The Influence of Investors’ Behavior on Setting Coffee Futures Prices
title_full The Influence of Investors’ Behavior on Setting Coffee Futures Prices
title_fullStr The Influence of Investors’ Behavior on Setting Coffee Futures Prices
title_full_unstemmed The Influence of Investors’ Behavior on Setting Coffee Futures Prices
title_sort The Influence of Investors’ Behavior on Setting Coffee Futures Prices
author Serrão, Amílcar
author_facet Serrão, Amílcar
author_role author
dc.contributor.author.fl_str_mv Serrão, Amílcar
dc.subject.por.fl_str_mv Coffee Futures Prices
Prospect Theory
Volatility
Behavioral Finance
topic Coffee Futures Prices
Prospect Theory
Volatility
Behavioral Finance
description The great challenge for this research work is to show that the biases of investors’ behavior can affect the formation of coffee futures prices. This research work uses auto-regressive conditional heteroscedasticity (ARCH) models to analyze results that show that the volatility has an impact on the formation of coffee futures prices. The positive volatility asymmetry coefficient of the TARCH model shows the presence of the leverage effect, where negative shocks have a greater impact on the volatility of returns in coffee futures prices than positive shocks. The presence of the leverage effect includes information related with investors’ behavior which has influence on the formation of coffee futures prices and corroborates the Prospect Theory. Model results also show that investors’ reactions to bad news are statistically significant in the coffee futures market and suggest that Behavioral Finance can contribute to the understanding of the formation of coffee futures prices.
publishDate 2015
dc.date.none.fl_str_mv 2015-10-01T00:00:00Z
2016-01-07T11:20:53Z
2016-01-07
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10174/16576
http://hdl.handle.net/10174/16576
url http://hdl.handle.net/10174/16576
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv Serrão, Amílcar. 2015. The Influence of Investors’ Behavior on Setting Coffee Futures Prices.International Journal of Managerial Studies and Research (IJMSR).Volume 3, Issue 10, October 2015, PP 1-11, ISSN 2349-0330 (Print) & ISSN 2349-0349 (Online). www.arcjournals.org
aserrao@uevora.pt
664
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv International Journal of Managerial Studies and Research (IJMSR)
publisher.none.fl_str_mv International Journal of Managerial Studies and Research (IJMSR)
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799136572386312192

Registros relacionados