Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional da UFSCAR |
Texto Completo: | https://repositorio.ufscar.br/handle/ufscar/12127 |
Resumo: | We used agricultural commodities futures prices to identify speculative bubbles in the Brazilian derivatives markets between 2008 and 2017. We applied the Generalized Supremum Augmented Dickey-Fuller (GSADF) test to analyze if corn, soybeans, coffee and live cattle futures prices moved temporarily away from their fundamental values. This study aimed to fill in a gap in the literature that analyses the existence of speculative bubbles in the Brazilian agricultural futures markets. Our findings support evidence for multiple periods of bubbles in all markets, except for coffee. We found that 40,4% of the bubbles were short-lived, lasting between 3 and 8 days, and that on average, there were more positive (60%) than negative bubbles (40%). Most of the bubbles events occurred in corn, which represented 87% of the total bubbles episodes during the analyzed period. We verified that prices movements during a speculative period were asymmetric, as the initial price variation was usually larger than the last. We expect that our findings can be useful for market participants who trade futures contracts as a way to hedge their cash position, or for speculative reasons. In addition, a better understanding of prices behavior can help market participants to manage their portfolio risk, and help regulators to ensure that trading rules are respected, and markets function efficiently. |
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Silva, Priscila Fulvia Bittencourt daJúnior, José César Cruzhttp://lattes.cnpq.br/0086426315229286http://lattes.cnpq.br/695948570847394044b80681-79e1-4b7b-be99-d3f55d1ae60a2019-12-11T19:30:03Z2019-12-11T19:30:03Z2018-08-30SILVA, Priscila Fulvia Bittencourt da. Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias. 2018. Dissertação (Mestrado em Economia) – Universidade Federal de São Carlos, Sorocaba, 2018. Disponível em: https://repositorio.ufscar.br/handle/ufscar/12127.https://repositorio.ufscar.br/handle/ufscar/12127We used agricultural commodities futures prices to identify speculative bubbles in the Brazilian derivatives markets between 2008 and 2017. We applied the Generalized Supremum Augmented Dickey-Fuller (GSADF) test to analyze if corn, soybeans, coffee and live cattle futures prices moved temporarily away from their fundamental values. This study aimed to fill in a gap in the literature that analyses the existence of speculative bubbles in the Brazilian agricultural futures markets. Our findings support evidence for multiple periods of bubbles in all markets, except for coffee. We found that 40,4% of the bubbles were short-lived, lasting between 3 and 8 days, and that on average, there were more positive (60%) than negative bubbles (40%). Most of the bubbles events occurred in corn, which represented 87% of the total bubbles episodes during the analyzed period. We verified that prices movements during a speculative period were asymmetric, as the initial price variation was usually larger than the last. We expect that our findings can be useful for market participants who trade futures contracts as a way to hedge their cash position, or for speculative reasons. In addition, a better understanding of prices behavior can help market participants to manage their portfolio risk, and help regulators to ensure that trading rules are respected, and markets function efficiently.Neste trabalho foram utilizados os preços de quatro contratos futuros de commodities (milho, soja, boi gordo e café) negociadas na bolsa de derivativos brasileira, com o objetivo de detectar a presença de bolhas especulativas no período entre 2008 e 2017. O presente trabalho tenta preencher a lacuna existente na literatura visto que há escassez de estudos destinados a avaliar a existência de bolhas especulativas no mercado futuro agropecuário brasileiro. Com a utilização do teste Generalized Supremum Augmented Dickey-Fuller (GSADF) foi possível detectar múltiplos períodos de bolhas em todas as séries analisadas, exceto para o café. Um total de 47 bolhas foram identificadas sendo estas concentradas em milho e soja. O percentual de dias de negociação com preços explosivos foi de cerca de 26,5% ao longo do período analisado. Os resultados mostraram que 40,4% das bolhas tiveram baixa duração, entre 3 e 8 dias. O maior período de bolhas ocorreu em 2010 para o milho, e durou 123 dias. Em média, há mais bolhas positivas (60%) do que negativas (40%). Constatou-se que a movimentação dos preços em um período especulativo é assimétrica, sendo que a variação no início de uma bolha mostrou-se superior do que a variação final. Os resultados encontrados são úteis para os agentes que procuram o mercado de derivativos agropecuários para se protegerem de variações de preços, ou ainda por motivos especulativos. Um melhor conhecimento do comportamento dos preços pode ajudar os participantes do mercado a montar suas carteiras de maneira mais adequada. Agentes reguladores também podem usar tais conhecimentos para garantir que as regras de negociação sejam respeitadas, e que os mercados funcionem de maneira eficiente.Não recebi financiamentoporUniversidade Federal de São CarlosCâmpus SorocabaPrograma de Pós-Graduação em Economia - PPGEc-SoUFSCarAttribution-ShareAlike 3.0 Brazilhttp://creativecommons.org/licenses/by-sa/3.0/br/info:eu-repo/semantics/openAccessbolhas especulativasmercado futurocommodities agropecuáriasteste GSADFspeculative bubblesfutures marketsagricultural commoditiesGSADF testCIENCIAS SOCIAIS APLICADAS::ECONOMIA::TEORIA ECONOMICAAnálise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuáriasSpeculative bubbles in the Brazilian derivatives marketsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis60060098ae85d7-07e0-4703-b251-2cc911ed986ereponame:Repositório Institucional da UFSCARinstname:Universidade Federal de São Carlos (UFSCAR)instacron:UFSCARORIGINALMestrado_Economia.pdfMestrado_Economia.pdfDissertaçãoapplication/pdf623217https://repositorio.ufscar.br/bitstream/ufscar/12127/1/Mestrado_Economia.pdf151073480b6d55fa38215f3aa0d329d2MD51autorizacao-priscila.pdfautorizacao-priscila.pdfCarta comprovante assinada pelo seu orientadorapplication/pdf540005https://repositorio.ufscar.br/bitstream/ufscar/12127/3/autorizacao-priscila.pdf1eea6740acb2224cb135b7facb779c4fMD53CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-81031https://repositorio.ufscar.br/bitstream/ufscar/12127/4/license_rdf9b85e4235558a2887c2be3998124b615MD54TEXTMestrado_Economia.pdf.txtMestrado_Economia.pdf.txtExtracted texttext/plain87071https://repositorio.ufscar.br/bitstream/ufscar/12127/5/Mestrado_Economia.pdf.txte8581bae2a00093aa43c0221ed6550a3MD55autorizacao-priscila.pdf.txtautorizacao-priscila.pdf.txtExtracted texttext/plain1483https://repositorio.ufscar.br/bitstream/ufscar/12127/7/autorizacao-priscila.pdf.txt7d703788abe363942f7eadd278e569d9MD57THUMBNAILMestrado_Economia.pdf.jpgMestrado_Economia.pdf.jpgIM Thumbnailimage/jpeg6071https://repositorio.ufscar.br/bitstream/ufscar/12127/6/Mestrado_Economia.pdf.jpgdbfd51fccc39a07fef999557c35b413bMD56autorizacao-priscila.pdf.jpgautorizacao-priscila.pdf.jpgIM Thumbnailimage/jpeg14832https://repositorio.ufscar.br/bitstream/ufscar/12127/8/autorizacao-priscila.pdf.jpg80061873469f20eb9aa3dc5c268e46c5MD58ufscar/121272023-09-18 18:31:47.842oai:repositorio.ufscar.br:ufscar/12127Repositório InstitucionalPUBhttps://repositorio.ufscar.br/oai/requestopendoar:43222023-09-18T18:31:47Repositório Institucional da UFSCAR - Universidade Federal de São Carlos (UFSCAR)false |
dc.title.por.fl_str_mv |
Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias |
dc.title.alternative.por.fl_str_mv |
Speculative bubbles in the Brazilian derivatives markets |
title |
Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias |
spellingShingle |
Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias Silva, Priscila Fulvia Bittencourt da bolhas especulativas mercado futuro commodities agropecuárias teste GSADF speculative bubbles futures markets agricultural commodities GSADF test CIENCIAS SOCIAIS APLICADAS::ECONOMIA::TEORIA ECONOMICA |
title_short |
Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias |
title_full |
Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias |
title_fullStr |
Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias |
title_full_unstemmed |
Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias |
title_sort |
Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias |
author |
Silva, Priscila Fulvia Bittencourt da |
author_facet |
Silva, Priscila Fulvia Bittencourt da |
author_role |
author |
dc.contributor.authorlattes.por.fl_str_mv |
http://lattes.cnpq.br/6959485708473940 |
dc.contributor.author.fl_str_mv |
Silva, Priscila Fulvia Bittencourt da |
dc.contributor.advisor1.fl_str_mv |
Júnior, José César Cruz |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/0086426315229286 |
dc.contributor.authorID.fl_str_mv |
44b80681-79e1-4b7b-be99-d3f55d1ae60a |
contributor_str_mv |
Júnior, José César Cruz |
dc.subject.por.fl_str_mv |
bolhas especulativas mercado futuro commodities agropecuárias teste GSADF speculative bubbles futures markets agricultural commodities GSADF test |
topic |
bolhas especulativas mercado futuro commodities agropecuárias teste GSADF speculative bubbles futures markets agricultural commodities GSADF test CIENCIAS SOCIAIS APLICADAS::ECONOMIA::TEORIA ECONOMICA |
dc.subject.cnpq.fl_str_mv |
CIENCIAS SOCIAIS APLICADAS::ECONOMIA::TEORIA ECONOMICA |
description |
We used agricultural commodities futures prices to identify speculative bubbles in the Brazilian derivatives markets between 2008 and 2017. We applied the Generalized Supremum Augmented Dickey-Fuller (GSADF) test to analyze if corn, soybeans, coffee and live cattle futures prices moved temporarily away from their fundamental values. This study aimed to fill in a gap in the literature that analyses the existence of speculative bubbles in the Brazilian agricultural futures markets. Our findings support evidence for multiple periods of bubbles in all markets, except for coffee. We found that 40,4% of the bubbles were short-lived, lasting between 3 and 8 days, and that on average, there were more positive (60%) than negative bubbles (40%). Most of the bubbles events occurred in corn, which represented 87% of the total bubbles episodes during the analyzed period. We verified that prices movements during a speculative period were asymmetric, as the initial price variation was usually larger than the last. We expect that our findings can be useful for market participants who trade futures contracts as a way to hedge their cash position, or for speculative reasons. In addition, a better understanding of prices behavior can help market participants to manage their portfolio risk, and help regulators to ensure that trading rules are respected, and markets function efficiently. |
publishDate |
2018 |
dc.date.issued.fl_str_mv |
2018-08-30 |
dc.date.accessioned.fl_str_mv |
2019-12-11T19:30:03Z |
dc.date.available.fl_str_mv |
2019-12-11T19:30:03Z |
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.citation.fl_str_mv |
SILVA, Priscila Fulvia Bittencourt da. Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias. 2018. Dissertação (Mestrado em Economia) – Universidade Federal de São Carlos, Sorocaba, 2018. Disponível em: https://repositorio.ufscar.br/handle/ufscar/12127. |
dc.identifier.uri.fl_str_mv |
https://repositorio.ufscar.br/handle/ufscar/12127 |
identifier_str_mv |
SILVA, Priscila Fulvia Bittencourt da. Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias. 2018. Dissertação (Mestrado em Economia) – Universidade Federal de São Carlos, Sorocaba, 2018. Disponível em: https://repositorio.ufscar.br/handle/ufscar/12127. |
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https://repositorio.ufscar.br/handle/ufscar/12127 |
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Attribution-ShareAlike 3.0 Brazil http://creativecommons.org/licenses/by-sa/3.0/br/ info:eu-repo/semantics/openAccess |
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Attribution-ShareAlike 3.0 Brazil http://creativecommons.org/licenses/by-sa/3.0/br/ |
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Universidade Federal de São Carlos Câmpus Sorocaba |
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Programa de Pós-Graduação em Economia - PPGEc-So |
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UFSCar |
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Universidade Federal de São Carlos Câmpus Sorocaba |
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