Análise de bolhas especulativas no mercado futuro brasileiro de commodities agropecuárias

• Ano de defesa: 2018
• Autor(a) principal: Silva, Priscila Fulvia Bittencourt da
• Orientador(a): Júnior, José César Cruz
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de São Carlos; Câmpus Sorocaba
• Programa de Pós-Graduação: Programa de Pós-Graduação em Economia - PPGEc-So
• Palavras-chave em Português: bolhas especulativas; mercado futuro; commodities agropecuárias; teste GSADF; speculative bubbles; futures markets; agricultural commodities; GSADF test
• Área do conhecimento CNPq: CIENCIAS SOCIAIS APLICADAS::ECONOMIA::TEORIA ECONOMICA
• Link de acesso: https://repositorio.ufscar.br/handle/ufscar/12127

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.