Herding behaviour in sugar futures markets from 2013 to 2023
Autor(a) principal: | |
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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 |
Resumo: | 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. |
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Herding behaviour in sugar futures markets from 2013 to 2023Behavioural financeEfficient market hypothesisHerd behaviourCommodities marketsSugar marketFinanças comportamentaisMercado de açúcarDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis 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.Esta tese pretende estudar a possibilidade de existência de herding behaviour nos mercados de futuros e açúcar. O estudo realizado assume este comportamento como fundamental para explicar a elevada volatilidade observada nos mercados de futuros de açúcar. Através do modelo CSAD, desenvolvido por Chang et al. (2000), são analisados quatro contratos futuros de açúcar durante o período de 01/01/2013 até 31/12/2022. A análise do comportamento de herding nos mercados de futuros de açúcar ajuda investidores e analistas a prever movimentos futuros nos preços de futuros de açúcar (o que ajuda a identificar oportunidades de investimento e a gerir riscos), ajuda a identificar bolhas especulativas (o que pode evitar perdas financeiras significativas) e ajuda os reguladores a identificar e abordar quaisquer problemas de estabilidade de mercado. Os resultados mostram que o comportamento de herding não está presente nos mercados de futuros de açúcar, com alto grau de confiança, e que se chega inclusive a verificar um comportamento de anti-herding. A literatura revista sugere que isso pode acontecer devido ao excesso de confiança dos investidores, já que aqueles que recentemente tiveram grandes retornos positivos são mais propensos a desconsiderar os sinais do mercado e a concentrar-se na sua capacidade de processar as informações disponíveis para tomar as suas decisões de investimento. Além disso, pode também ocorrer devido a assimetrias de informação entre os participantes do mercado e à presença de manipuladores de mercado.Ferreira, Mário Pedro Leite de AlmeidaVeritati - Repositório Institucional da Universidade Católica PortuguesaJoão, Ema Oliveira2023-07-172023-042024-09-01T00:00:00Z2023-07-17T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/42376TID:203350111enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-09-19T01:42:28Zoai:repositorio.ucp.pt:10400.14/42376Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:29:35.216037Repositório 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 |
Herding behaviour in sugar futures markets from 2013 to 2023 |
title |
Herding behaviour in sugar futures markets from 2013 to 2023 |
spellingShingle |
Herding behaviour in sugar futures markets from 2013 to 2023 João, Ema Oliveira Behavioural finance Efficient market hypothesis Herd behaviour Commodities markets Sugar market Finanças comportamentais Mercado de açúcar Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Herding behaviour in sugar futures markets from 2013 to 2023 |
title_full |
Herding behaviour in sugar futures markets from 2013 to 2023 |
title_fullStr |
Herding behaviour in sugar futures markets from 2013 to 2023 |
title_full_unstemmed |
Herding behaviour in sugar futures markets from 2013 to 2023 |
title_sort |
Herding behaviour in sugar futures markets from 2013 to 2023 |
author |
João, Ema Oliveira |
author_facet |
João, Ema Oliveira |
author_role |
author |
dc.contributor.none.fl_str_mv |
Ferreira, Mário Pedro Leite de Almeida Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
João, Ema Oliveira |
dc.subject.por.fl_str_mv |
Behavioural finance Efficient market hypothesis Herd behaviour Commodities markets Sugar market Finanças comportamentais Mercado de açúcar Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
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 |
description |
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. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-07-17 2023-04 2023-07-17T00:00:00Z 2024-09-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/42376 TID:203350111 |
url |
http://hdl.handle.net/10400.14/42376 |
identifier_str_mv |
TID:203350111 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
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info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
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) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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