The influence of behavior factors in setting the agricultural futures market prices

Detalhes bibliográficos
Autor(a) principal: Serrão, Amílcar J
Data de Publicação: 2014
Tipo de documento: Artigo
Idioma: por
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10174/12674
Resumo: The great challenge for this research work is to show that the biases of investor behavior are predictable and may affect the coffee futures market prices. This research work uses auto-regressive conditional heteroskedasticity (ARCH) models to analyze results that cause deviations in the coffee futures market prices. The negative asymmetry coefficient of EGARCH model and the positive asymmetry coefficient of TGARCH model show the presence of the leverage effect where negative shocks have a greater impact in the volatility of returns in coffee than positive shocks. The presence of the leverage effect corroborates the Prospect Theory. Model results also show that the reactions of investors to negative information were statistically significant in the coffee futures market and suggest that Behavioral Finance might contribute to the understanding of the formation of coffee futures market prices.
id RCAP_e582380e29af23b1c0678841669ddcea
oai_identifier_str oai:dspace.uevora.pt:10174/12674
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling The influence of behavior factors in setting the agricultural futures market pricesFutures MarketsBehavioral FinanceThe great challenge for this research work is to show that the biases of investor behavior are predictable and may affect the coffee futures market prices. This research work uses auto-regressive conditional heteroskedasticity (ARCH) models to analyze results that cause deviations in the coffee futures market prices. The negative asymmetry coefficient of EGARCH model and the positive asymmetry coefficient of TGARCH model show the presence of the leverage effect where negative shocks have a greater impact in the volatility of returns in coffee than positive shocks. The presence of the leverage effect corroborates the Prospect Theory. Model results also show that the reactions of investors to negative information were statistically significant in the coffee futures market and suggest that Behavioral Finance might contribute to the understanding of the formation of coffee futures market prices.AgEcon2015-02-19T15:26:42Z2015-02-192014-05-27T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10174/12674http://hdl.handle.net/10174/12674porhttp://ageconsearch.umn.edu/handle/170326aserrao@uevora.pt638Serrão, Amílcar Jinfo: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:RCAAP2024-01-03T18:57:35Zoai:dspace.uevora.pt:10174/12674Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:06:16.801813Repositório 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 behavior factors in setting the agricultural futures market prices
title The influence of behavior factors in setting the agricultural futures market prices
spellingShingle The influence of behavior factors in setting the agricultural futures market prices
Serrão, Amílcar J
Futures Markets
Behavioral Finance
title_short The influence of behavior factors in setting the agricultural futures market prices
title_full The influence of behavior factors in setting the agricultural futures market prices
title_fullStr The influence of behavior factors in setting the agricultural futures market prices
title_full_unstemmed The influence of behavior factors in setting the agricultural futures market prices
title_sort The influence of behavior factors in setting the agricultural futures market prices
author Serrão, Amílcar J
author_facet Serrão, Amílcar J
author_role author
dc.contributor.author.fl_str_mv Serrão, Amílcar J
dc.subject.por.fl_str_mv Futures Markets
Behavioral Finance
topic Futures Markets
Behavioral Finance
description The great challenge for this research work is to show that the biases of investor behavior are predictable and may affect the coffee futures market prices. This research work uses auto-regressive conditional heteroskedasticity (ARCH) models to analyze results that cause deviations in the coffee futures market prices. The negative asymmetry coefficient of EGARCH model and the positive asymmetry coefficient of TGARCH model show the presence of the leverage effect where negative shocks have a greater impact in the volatility of returns in coffee than positive shocks. The presence of the leverage effect corroborates the Prospect Theory. Model results also show that the reactions of investors to negative information were statistically significant in the coffee futures market and suggest that Behavioral Finance might contribute to the understanding of the formation of coffee futures market prices.
publishDate 2014
dc.date.none.fl_str_mv 2014-05-27T00:00:00Z
2015-02-19T15:26:42Z
2015-02-19
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/10174/12674
http://hdl.handle.net/10174/12674
url http://hdl.handle.net/10174/12674
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv http://ageconsearch.umn.edu/handle/170326
aserrao@uevora.pt
638
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv AgEcon
publisher.none.fl_str_mv AgEcon
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_ 1799136547924082688

Registros relacionados