Custo de liquidez do contrato futuro de soja na BM&FBOVESPA, no período de 2010 a 2013

• Ano de defesa: 2013
• Autor(a) principal: Marquezin, Charles Luan
• Orientador(a): Mattos, Leonardo Bornacki de
• Banca de defesa: Cassuce, Francisco Carlos da Cunha , Reis, Janderson Damaceno dos
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Viçosa
• Programa de Pós-Graduação: Mestrado em Economia Aplicada
• Departamento: Economia e Gerenciamento do Agronegócio; Economia das Relações Internacionais; Economia dos Recursos
• País: BR
• Palavras-chave em Português: Custo de liquidez; Mercado futuro; Soja e BM&FBOVESPA
• Palavras-chave em Inglês: Liquidity cost; Future market; Soy and BM&FBOVESPA
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIAS AGRARIA E DOS RECURSOS NATURAIS::ECONOMIA AGRARIA
• Link de acesso: http://locus.ufv.br/handle/123456789/81

The liquidity cost is a variable that is not directly known by investors, being as important as other transaction costs involved in futures markets. Its relevance are the facts may result in the reduction of return expected by investors, result in loss of potential market participants, the price does not serve more as paper communication of information to be essential to the decision of using a futures contract, and be a key variable for the opportunity cost of hedgers and speculators. The purpose of the related research was to analyze the cost of liquidity relative to soybean futures contract on the BM&FBOVESPA and its determinants, from September 2010 to February 2013, using intraday data, containing 28,350 trades, 173,685 low bid offer for purchase and bid amounts 159,641 offers for sale. Specifically, we used the soybean contract due to the large domestic market growth of oilseed while reducing the use of soybean futures contract of the BM&FBOVESPA occurred in recent years, which generates strong evidence of high liquidity cost of the contract . To quantify the cost of market liquidity, we used the cost of running changes in shorter intervals, calculated as the difference between the price offered for purchase and sale of the offered price of the contract. The empirical analysis of the determinants of liquidity cost was based on the methods of OLS (OLS) and Generalized Method of Moments (GMM). Such methods possible to analyze the determinants of the cost of liquidity, which is fundamental to the decisions of participants operating in the market. Another objective of this study was to analyze the efficiency in measuring liquidity cost models based on series covariance between prices negotiated, such as Roll (1984) and Chu et al. (1996), and models based on absolute changes in prices, such as Thompson et al. (1987) and Wang et al. (1997), which were developed seeking to circumvent the lack of price information, bid and offer for sale of the contract, using only the values of the prices actually traded, all of these models thoroughly discussed in the literature. The results show that there is a large concentration of trades in a few contracts, and the highest average overall liquidity cost was $ 0.88 USD for the contract maturing in November 2011, representing 2.98% of the total volume contract. However, for larger maturities occurring negotiations, the liquidity cost average was $ 0.16 for the contract maturing in May 2011, which represents only 0.54% of the contract volume. Regarding the determinants, the results indicate that the trading volume, the number of open contracts, days to expiration of the contract and positive trend in prices are negatively related to the cost of liquidity, while the average volume traded is positively related. The other variables in the model, such as variability, report and days of the week were not significant. As the efficiency of models Roll (1984), Chu et al. (1996), Thompson et al. (1987) and Wang et al. (1997), the four methods showed high correlations among them, but all underestimate on average 60% the cost of liquidity estimated by the difference between the price offered and the price offered to purchase the contract of sale, in very short intervals. It is therefore concluded that the soybean futures contracts at BM&FBOVESPA offers high liquidity costs when compared to the results of international studies, mainly to contracts with low trading volume. Thus, market participants should watch for contracts to be used, not to occur in injury because the cost of liquidity.