Herding behaviour in sugar futures markets from 2013 to 2023

• Autor(a) principal: João, Ema Oliveira
• Data de Publicação: 2023
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.14/42376
• topic: Behavioural finance; Efficient market hypothesis; Herd behaviour; Commodities markets; Sugar market; Finanças comportamentais; Mercado de açúcar; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

This thesis aims to study the possibility of the existence of herding behaviour in sugar futures markets. The study assumes that this behaviour is fundamental in explaining the high volatility observed in sugar futures markets. Using the CSAD model developed by Chang et al. (2000), four sugar future contracts are analyzed during the period from 01/01/2013 to 31/12/2022. The analysis of herding behaviour in sugar futures markets helps investors and analysts predict future movements in sugar futures prices (which helps identify investment opportunities and manage risk), helps identify speculative bubbles (which may prevent significant financial losses), and help regulators identify and address any market stability issues. The results show that herding behaviour is not present in sugar futures markets, with a high degree of confidence, and that there is even evidence of anti-herding behaviour. The reviewed literature suggests that this can happen due to investors’ overconfidence, as those who have recently experienced large positive returns are more likely to disregard market signals and focus on their ability to process available information to make their investment decisions. Also, it can happen due to asymmetric information between the market participants and to the presence of market manipulators.