As negociações de futuros de commodities afetam a volatilidade dos preços físicos? Um estudo empírico para o mercado brasileiro de açúcar e etanol
Carregando...
Arquivos
Data
2013-02-05
Autores
Orientador(res)
Mori, Rogério
Métricas
Título da Revista
ISSN da Revista
Título de Volume
Resumo
This study examines whether there are impacts of trading activity in commodity futures markets on the volatility of spot prices for crystal sugar and hydrous ethanol traded in Brazil. For this analysis are used Granger Causality and Forecast Error Variance Decomposition. The results show a causal relationship between trading volumes and volatility of spot prices, except for the volume of futures traded in the London exchange. There were no causal relationship between the amount of open interest and price volatility in the spot market for any of the commodities studied.