Análise de ocorrência de bolhas no mercado futuro de café arábica

• Ano de defesa: 2023
• Autor(a) principal: Rocha, Áquila
• Orientador(a): Cruz, José
• 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 Administração - PPGA-So
• Palavras-chave em Português: Commodities; Mercado financeiro; Bolhas; Covid
• Palavras-chave em Inglês: Financial market; Bubbles; Derivatives
• Área do conhecimento CNPq: CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS::ADMINISTRACAO FINANCEIRA
• Link de acesso: https://repositorio.ufscar.br/handle/20.500.14289/18340

The Covid 19 pandemic claimed thousands of lives and impacted the global economy. To better understand this impact, the present work sought an asset that exemplified the changes that occurred in the financial market during the period, finding in Café Arábica an asset of global relevance, which fulfills the proposed objective. The work was conducted in two stages, the first stage being the research through a systematic review of the literature that sought robust and reliable methods for identifying price bubbles in commodities, finding these characteristics in the variations of the econometric test "ADF". In the second stage, the study uses the “Backward Sup Augmented Dickey-Fuller” (BSADF) test to perform an analysis of the occurrence of bubbles in the Arabica Coffee futures market between the years 2014 and 2021. The results show a large increase in intensity and duration of bubbles during the Covid-19 pandemic period (2020 and 2021). The analysis also suggests the possibility of a substantial increase in the duration and intensity of price bubbles in commodity assets from the year 2011 onwards. The result makes a significant contribution to the existing literature and provides advisory material to professionals who work directly or indirectly in the financial market.