The Expansion of the Brazilian Winter Corn Crop and Its Impact on Price Transmission

The purpose of this study is to analyze the impact of the growth of the Brazilian winter corn crop on the dynamics between domestic Brazilian prices and international prices as well as spot and futures prices in Brazil. Econometric time-series methods tests were applied using Brazilian spot and futures prices and U.S. futures prices. The statistical analysis found evidence that a long-run relationship between Brazilian and U.S. prices had developed, and the Brazilian futures market developed a more dominant role in the relationship between spot and futures prices domestically. These findings were particularly noticeable after 2002, when expanding corn production in Brazil was leading to greater participation in the international market (exports) and increasing trading in the Brazilian futures market

The expansion of the brazilian winter corn crop and Its impact on price transmission

sem informaçãoThe purpose of this study is to analyze the impact of the growth of the Brazilian winter corn crop on the dynamics between domestic Brazilian prices and international prices as well as spot and futures prices in Brazil. Econometric time-series methods tes62117sem informaçãosem informaçãosem informaçã

Uma análise da alocação de contratos futuros sobre commodities em portfólios diversificados

O trabalho analisou o impacto da introdução dos contratos futuros agropecuários (de café arábica, soja, milho, açúcar cristal, etanol e boi gordo), negociados na Bolsa de Valores, Mercadorias e Futuros - BM&FBovespa, no risco e no retorno de uma carteira diversificada, composta por ações, títulos, ouro e dólar, entre agosto de 1994 e dezembro de 2007. Foram realizados estudos para o intervalo de tempo completo e para subdivisões de dois e três períodos, além de uma análise bianual. Foram consideradas quatro diferentes estratégias com tais derivativos: posições compradas e vendidas em contratos de primeiro vencimento e de prazos superiores a seis meses. Com o uso da Teoria do Portfólio, observaram-se expansões da fronteira eficiente na análise bianual e para os períodos 1994-1998 e 1999-2003, porém estas não foram estatisticamente significativas, conforme metodologia de Gibbons, Ross e Shanken (1989).This paper analyzed the impact of including commodity futures (arabica coffee, soybean, corn, crystal sugar, ethanol and fed cattle), negotiated at Securities, Commodity and Futures Exchange (BM&FBovespa), in the performance of a diversified portfolio, composed by stocks, bonds, gold and dollar, between August of 1994 and December of 2007, when were studied the complete time break and subdivisions of two and three periods, adding a biannual analysis. Different strategies with these derivatives were considered: buy and hold or sell and hold contracts of first settlement or that took six months to maturity. Using the Portfolio Theory, results in biannual analysis and over the time periods 1994-1998 and 1999-2003 showed improvement in portfolio efficiency, but without statistical significance, according methodology used by Gibbons, Ross e Shanken (1989)

Futuros agropecuários em portfólios de máxima utilidade esperada

This study investigates the composition of maximum expected utility portfolio, considering stocks, bonds, gold, dollar and agricultural futures contract, between August of 1994 and December of 2007. From the optimal combinations of risk-return (calculated by Markowitz algorithm) and the use of a quadratic utility function (with different levels of risk aversion), were obtained portfolios that maximizes expected utility. The commodity futures were not present in the maximum expected utility portfolios for the complete period, 1994-2000. However, with division of sample in two and three periods, the commodity futures were included in these portfolios during the 2000s. Furthermore, in general, with the risk aversion increase, the participation of these papers in the portfolio had fall.Portfolio, Agricultural futures contract, Utility, Risk and Uncertainty,

Governança Corporativa e Custo de Capital de Terceiros: Evidências entre Empresas Brasileiras de Capital Aberto

The reduced access to debt capital, especially to long-term maturity debt, is one of the main problems of the Brazilian corporate environment. Agency conflicts and the existence of asymmetric information in transactions carried on the financial markets result in higher cost of capital and credit rationing. The adoption of best practices of corporate governance by enterprises, results in a reduced cost of capital, expands the role played by the market in raising funds for investment, and mitigates the problem of business financing. The purpose of this study is to evaluate the relationship between best practices of corporate governance and cost of debt among Brazilian non-financial listed companies during 2010-2014. Panel data with 230 companies and Generalized Method of Moments (GMM-Sis) method were used. Results suggested that a better corporate governance pattern has contributed to lowering the cost of debt of the companies. In addition, one-year-lagged cost of debt, profitability and issuance of preference shares have influenced the contemporary cost of debt.La reducción del acceso al capital de terceros, especialmente a largo plazo, es uno de los principales problemas del entorno corporativo brasileño. Conflictos de agencia y la existencia de información asimétrica en las transacciones realizadas en los mercados financieros conducen al racionamiento del crédito y elevados costes de capital. La adopción de mejores prácticas de gobierno corporativo por las empresas y, por tanto, la reducción del costo de capital, amplía la captación de recursos de inversión, mitigando así el problema de las finanzas corporativas. El objetivo de este estudio es evaluar la relación entre la adopción de mejores prácticas de gobierno corporativo y el coste de la deuda de 230 empresas brasileñas no financieras de capital abierto en el periodo 2010-2014. Con el fin de lograr este objetivo, se utilizó un modelo de datos de panel con 230 empresas y el Método Generalizado de Momentos Sistémico (GMM-Sis). Los resultados mostraron que la adopción de mejores niveles de gobierno corporativo reduce el coste de la deuda de las compañías en la muestra. Además, se observó que el costo de la deuda pasada, la rentabilidad y el nivel de emisión de acciones preferentes tuvieron una influencia estadísticamente significativa sobre el costo de la deuda actual.O reduzido acesso ao capital de terceiros, especialmente os de mais longo prazo, é um dos principais problemas do ambiente corporativo brasileiro. Conflitos de agência e existência de informação assimétrica nas transações efetivadas no mercado financeiro resultam no racionamento do crédito e no encarecimento do custo de capital. A adoção de melhores práticas de governança corporativa pelas empresas, ao implicar redução do custo de capital, amplia a captação de recursos para o investimento, mitigando o problema do financiamento empresarial. O objetivo deste estudo é avaliar a relação entre a adoção de melhores práticas de governança corporativa e o custo do capital de terceiros das empresas brasileiras não financeiras de capital aberto no período 2010-2014. De forma a atingir tal objetivo, foi utilizado um modelo de dados de painel com 230 companhias, tendo a estimação sido realizada pelo Método dos Momentos Generalizado Sistêmico (GMM-Sis). Os resultados apontaram que a adoção de melhores níveis de governança corporativa reduziu o custo do capital de terceiros das companhias presentes na amostra. Além disso, verificou-se que as variáveis custo de capital de terceiros do ano anterior, lucratividade e nível de emissão de ações preferenciais exerceram uma influência estatisticamente significativa sobre o custo contemporâneo da dívida

Derivativos sobre commodities influenciam a volatilidade dos preços à vista? uma análise nos mercados de boi gordo e café arábica no Brasil

The bullish movement in commodity prices during the 2000s can be explained based on structural and conjectural factors. In addition, it was argued that this price movement was amplified by the contagion from the derivative markets. In this context, these contracts were one of the aspects responsible for an increase in cash price volatility. Thus, this paper evaluated the influence of trading activity (volume and open interest) and futures price volatility in spot price volatility for arabica coffee and live cattle in Brazilian markets. Granger causality tests, forecast error variance decomposition, considering vector autoregression models, and tests of causality in variance, based on the cross-correlation function and on the idea of Lagrange multiplier were conducted. The results showed that, during the period considered, in most cases, an unexpected movement in trading volume and variability of futures prices changed the pattern of spot price volatility.Além de fatores conjunturais da economia mundial e estruturais relativos à oferta e demanda global por commodities, aponta-se que o movimento altista dos preços destes produtos na década de 2000 pode também ser explicado pelo maior contágio dos derivativo523417436sem informaçãosem informaçãoAdrangi, B., Chatrath, A., Futures commitments and exchange rate volatility (1998) Journal of Business Finance and Accounting, 25 (3), pp. 501-520Ahmad, H., Shah, S.Z.A., Shah, I.A., Impact of Futures Trading on Spot Price Volatility: Evidence from Pakistan (2010) International Research Journal of Finance and Economics, 59, pp. 145-165Alexakis, P., On the effect of index futures trading on stock market volatility (2007) International Research Journal of Finance and Economics, 11, pp. 7-20Antoniou, A., Foster, A.J., The effect of futures trading on spot price volatility: Evidence for Brent crude oil using GARCH (1992) Journal of Business Finance and Accounting, 19 (4), pp. 473-484Antoniou, A., Holmes, P., Futures trading, information and spot price volatility: Evidence for the FTSE-100 Stock Index Futures contract using GARCH (1995) Journal of Banking & Finance, 19 (1), pp. 117-129Antoniou, A., Holmes, P., Priestley, R., The effects on stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news (1998) The Journal of Futures Market, 18 (2), pp. 151-166Bae, S.C., Kwon, T.H., Park, J.W., Derivatives trading, volatility spillover, and regulation: Evidence from the Korean securities markets (2009) The Journal of Futures Markets, 29 (6), pp. 563-597Bandivadekar, S., Ghosh, S., Derivatives and volatility on Indian stock markets (2003) Reserve Bank of India Occasional Papers, 24 (3), pp. 1-15Bessembinder, H., Seguin, P., Futures trading activity and stock price volatility (1992) Journal of Finance, 47 (5), pp. 2015-2034Bessembinder, H., Chan, H., Seguin, P., An empirical examination of information, differences of opinion, and trading activity (1996) Journal of Financial Economics, 40 (1), pp. 105-134Board, J., Sandmann, G., Sutcliffe, C., The effect of futures market volume on spot market volatility (2001) Journal of Business Finance & Accounting, 28 (7-8), pp. 799-819Bollerslev, T., Generalized autoregressive conditional heteroscedasticity (1986) Journal of Econometrics, 31 (3), pp. 307-327Bologna, P., Cavallo, L., Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH (2002) Applied Financial Economics, 12 (3), pp. 183-192Brorsen, B.W., Oellermann, C.M., Farris, P.L., The live cattle futures market and daily cash price movements (1989) The Journal of Futures Markets, 9 (4), pp. 273-282Brown, C.J., Curci, R., Mexican peso futures and exchange rate volatility (2002) Latin American Business Review, 3 (1), pp. 75-90Chatrath, A., Ramchander, S., Song, F., The role of futures trading activity in exchange rate volatility (1996) The Journal of Futures Markets, 16 (5), pp. 561-584Cheung, Y.W., Ng, L.K., A causality in variance test and its application to financial market prices (1996) Journal of Econometrics, 72, pp. 33-48Clifton, E.V., The currency futures market and interbank foreign exchange trading (1985) The Journal of Futures Markets, 5 (3), pp. 375-384Cox, C.C., Futures trading and market information (1976) Journal of Political Economy, 84 (6), pp. 1215-1237Dawson, P., Staikouras, S.K., The impact of volatility derivatives on S&P 500 volatility (2009) The Journal of Futures Markets, 29 (12), pp. 1190-1213Debasish, S.S., Effect of futures trading on spot-price volatility: Evidence for NSE Nifty using GARCH (2009) The Journal of Risk Finance, 10 (1), pp. 67-77Drimbetas, E., Sariannidis, N., Porfiris, N., The effect of derivatives trading on volatility of the underlying asset: Evidence from the Greek stock market (2007) Applied Financial Economics, 17 (2), pp. 139-148Emery, H.C., (1896) Speculation on the stock and produce exchanges of the United States, , Columbia University, New YorkEngle, R.F., Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation (1982) Econometrica, 50 (4), pp. 987-1007Figlewski, S., Futures trading and volatility in the GNMA market (1981) Journal of Finance, 36, pp. 445-456Galvão, A.B., Portugal, M.S., Ribeiro, E.P., Volatilidade e causalidade: evidências para o mercado à vista e futuro de índice de ações no Brasil (2000) Revista Brasileira de Economia, 54 (1), pp. 37-56Garcia, P., Leuthold, R.M., Zapata, H., Leadlag relationships between trading volume and price variability: new evidence (1986) The Journal of Futures Markets, 6 (1), pp. 1-10Gray, R.W., Onions revisited (1963) Journal of Farm Economics, 65 (2), pp. 273-276Hafner, C.M., Herwartz, H., A Lagrange multiplier test for causality in variance (2006) Economics Letters, 93, pp. 137-141Hegde, S.P., The impact of futures trading on the spot market for treasury bonds (1994) Financial Review, 29 (4), pp. 441-471Hooker, R.H., The suspension of the Berlin produce exchange and its effect upon corn prices (1901) Journal of the Royal Statistical Society, 64 (4), pp. 574-604Illueca, M., Lafuente, J.A., The effect of spot and futures trading on stock index market volatility: A nonparametric approach (2003) The Journal of Futures Markets, 23 (9), pp. 841-858Illueca, M., Lafuente, J.A., Introducing the mini-futures contract on Ibex 35 implications for price discovery and volatility transmission (2008) Spanish Economic Review, 10 (3), pp. 197-219Jensen, G.R., Johnson, R.R., Mercer, J.M., Tactical asset allocation and commodity futures (2002) Journal of Portfolio Management, 28 (4), pp. 100-111Jochum, C., Kodres, L., Does the introduction of futures on emerging market currencies destabilize the underlying currencies? (1998) IMF Staff Papers, 45 (3), pp. 486-521Johnson, A.C., (1973) Effects of futures trading on price performance in the cash onion market, 1930-68, , Washington: U.S. Department of Agriculture, Technical Bulletin n° 1470Kasman, A., Kasman, S., The impact of futures trading on volatility of the underlying asset in the Turkish stock market (2008) Physica A: Statistical Mechanics and its Applications, 387 (12), pp. 2837-2845Kocagil, A.E., Does futures speculation stabilize spot prices? Evidence from metals markets (1997) Applied Financial Economics, 7, pp. 115-125Kocagil, A.E., Shachmurove, Y., Return -Volume dynamics in futures markets (1998) The Journal of Futures Markets, 18 (4), pp. 399-426Malliaris, A.G., Urrutia, J.L., Volume and price relationships: hypotheses and testing for agricultural futures (1998) The Journal of Futures Markets, 18 (1), pp. 53-72Mayhew, S., The impact of derivatives on cash markets: what have we learned? 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Evidence for U,S, live beef cattle (1990) The Journal of Futures Markets, 10 (1), pp. 41-60Working, H., Price effects of futures trading (1960) Food Research Institute Studies, 1 (1), pp. 3-31Wray, L.R., O novo capitalismo dos gerentes de dinheiro e a crise financeira global (2009) Oikos, 8 (1), pp. 19-39Yang, J., Balyeat, R.B., Leatham, D.J., Futures trading activity and commodity cash price volatility (2005) Journal of Business Finance & Accounting, 32 (1-2), pp. 297-323Zhong, M., Darrat, A.F., Otero, R., Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico (2004) Journal of Banking & Finance, 28 (12), pp. 3037-3054The bullish movement in commodity prices during the 2000s can be explained based on structural and conjectural factors. In addition, it was argued that this price movement was amplified by the contagion from the derivative markets. In this context, thes

Derivativos sobre commodities influenciam a volatilidade dos preços à vista? Uma análise nos mercados de boi gordo e café arábica no Brasil

sem informaçãoAlém de fatores conjunturais da economia mundial e estruturais relativos à oferta e demanda global por commodities, aponta-se que o movimento altista dos preços destes produtos na década de 2000 pode também ser explicado pelo maior contágio dos derivativo523417436sem informaçãosem informaçãosem informaçã

Uma análise da alocação de contratos futuros sobre commodities em portfólios diversificados

This paper analyzed the impact of including commodity futures (arabica coffee, soybean, corn, crystal sugar, ethanol and fed cattle), negotiated at Securities, Commodity and Futures Exchange (BM&FBovespa), in the performance of a diversified portfolio, composed by stocks, bonds, gold and dollar, between August of 1994 and December of 2007, when were studied the complete time break and subdivisions of two and three periods, adding a biannual analysis. Different strategies with these derivatives were considered: buy and hold or sell and hold contracts of first settlement or that took six months to maturity. Using the Portfolio Theory, results in biannual analysis and over the time periods 1994-1998 and 1999-2003 showed improvement in portfolio efficiency, but without statistical significance, according methodology used by Gibbons, Ross e Shanken (1989).O trabalho analisou o impacto da introdução dos contratos futuros agropecuários (de café arábica, soja, milho, açúcar cristal, etanol e boi gordo), negociados na Bolsa de Valores, Mercadorias e Futuros - BM&FBovespa, no risco e no retorno de uma carteira diversificada, composta por ações, títulos, ouro e dólar, entre agosto de 1994 e dezembro de 2007. Foram realizados estudos para o intervalo de tempo completo e para subdivisões de dois e três períodos, além de uma análise bianual. Foram consideradas quatro diferentes estratégias com tais derivativos: posições compradas e vendidas em contratos de primeiro vencimento e de prazos superiores a seis meses. Com o uso da Teoria do Portfólio, observaram-se expansões da fronteira eficiente na análise bianual e para os períodos 1994-1998 e 1999-2003, porém estas não foram estatisticamente significativas, conforme metodologia de Gibbons, Ross e Shanken (1989)481195222This paper analyzed the impact of including commodity futures (arabica coffee, soybean, corn, crystal sugar, ethanol and fed cattle), negotiated at Securities, Commodity and Futures Exchange (BM&FBovespa), in the performance of a diversified portfolio, composed by stocks, bonds, gold and dollar, between August of 1994 and December of 2007, when were studied the complete time break and subdivisions of two and three periods, adding a biannual analysis. Different strategies with these derivatives were considered: buy and hold or sell and hold contracts of first settlement or that took six months to maturity. Using the Portfolio Theory, results in biannual analysis and over the time periods 1994-1998 and 1999-2003 showed improvement in portfolio efficiency, but without statistical significance, according methodology used by Gibbons, Ross e Shanken (1989

Impacto dos contratos futuros do Ibovespa na volatilidade dos índices de ações no Brasil: uma análise na crise do subprime

CAPES - COORDENAÇÃO DE APERFEIÇOAMENTO DE PESSOAL E NÍVEL SUPERIORCNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOFAPESP - FUNDAÇÃO DE AMPARO À PESQUISA DO ESTADO DE SÃO PAULOSignificant increasing in derivatives trading over the world markets has led to an interesting debate about futures contracts influences on spot prices. In this context, this paper aims to evaluate, during the subprime crisis, the influence of IBOVESPA futures price volatility on the spot price indices as follows: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL and MLCX. We considered the period from August 2007 to April 2009, when the evidence of the crisis were intense until to be recovering of growth of stock market index. To assess causality-in-variance, tests proposed by Cheung and Ng (1996) and Hafner and Herwartz (2006) were employed, and the volatility was estimated by an univariate GARCH process. It was found that the volatility of IBOVESPA futures contract did not destabilize spot indices during the subprime crisis.O aumento das negociações de derivativos no mercado mundial tem levado a um amplo debate acerca da influência dos contratos futuros sobre os preços à vista em diferentes mercados. Neste contexto, o presente artigo teve por objetivo avaliar, no período da crise do subprime, a influência da volatilidade dos preços futuros do IBOVESPA sobre os seguintes índices à vista: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL e MLCX. Considerou-se o período entre agosto de 2007 e abril de 2009, quando as evidências da crise foram mais intensas até a retomada de crescimento dos índices acionários. Para se avaliar a causalidade na variância, foram empregados testes propostos por Cheung e Ng (1996) e Hafner e Herwartz (2006), sendo a volatilidade estimada por um processo GARCH univariado. Os resultados levaram à rejeição da hipótese de que, durante a crise do subprime, os movimentos do mercado futuro desestabilizaram o mercado à vista de ações brasileiro.O aumento das negociações de derivativos no mercado mundial tem levado a um amplo debate acerca da influência dos contratos futuros sobre os preços à vista em diferentes mercados. Neste contexto, o presente artigo teve por objetivo avaliar, no período da crise do subprime, a influência da volatilidade dos preços futuros do IBOVESPA sobre os seguintes índices à vista: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL e MLCX. Considerou-se o período entre agosto de 2007 e abril de 2009, quando as evidências da crise foram mais intensas até a retomada de crescimento dos índices acionários. Para se avaliar a causalidade na variância, foram empregados testes propostos por Cheung e Ng (1996) e Hafner e Herwartz (2006), sendo a volatilidade estimada por um processo GARCH univariado. Os resultados levaram à rejeição da hipótese de que, durante a crise do subprime, os movimentos do mercado futuro desestabilizaram o mercado à vista de ações brasileiro424801825CAPES - COORDENAÇÃO DE APERFEIÇOAMENTO DE PESSOAL E NÍVEL SUPERIORCNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOFAPESP - FUNDAÇÃO DE AMPARO À PESQUISA DO ESTADO DE SÃO PAULOCAPES - COORDENAÇÃO DE APERFEIÇOAMENTO DE PESSOAL E NÍVEL SUPERIORCNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOFAPESP - FUNDAÇÃO DE AMPARO À PESQUISA DO ESTADO DE SÃO PAULOSignificant increasing in derivatives trading over the world markets has led to an interesting debate about futures contracts influences on spot prices. In this context, this paper aims to evaluate, during the subprime crisis, the influence of IBOVESPA futures price volatility on the spot price indices as follows: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL and MLCX. We considered the period from August 2007 to April 2009, when the evidence of the crisis were intense until to be recovering of growth of stock market index. To assess causality-in-variance, tests proposed by Cheung and Ng (1996) and Hafner and Herwartz (2006) were employed, and the volatility was estimated by an univariate GARCH process. It was found that the volatility of IBOVESPA futures contract did not destabilize spot indices during the subprime crisi