We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Exame de margem de garantia e volatilidade sobre volume negociado: evidências para o mercado de futuros agropecuários da BM&FBOVESPA.
- Authors
Canguçú Oliveira, Helton Neves; Mattos, Leonardo Bornacki; da Costa Silva, Maria Micheliana
- Abstract
An optimal margin system in futures markets should ensure equilibrium between the cost of transaction for traders and a margin of protection for the clearing house. This paper examines the empirical relationship between changes in margin requirements and trading volume of live cattle, arabica coffee and soybean futures contracts traded at the BM&FBOVESPA. Generalized conditional heteroseedasticity models (GARCH-M) were estimated. The results indicate a positive relationship between margin requirements and trading volume for live cattle and arabica coffee contracts, and not significant for soybean futures. There is also a negative impact of lagged trading volume on price volatility.
- Subjects
MARGINS (Futures trading); FUTURES market; CLEARINGHOUSES; SECURITIES trading volume; CATTLE industry; COFFEE industry; SOYBEAN sales &; prices; MARKET volatility
- Publication
Revista de Economia e Administração, 2012, Vol 11, Issue 4, p462
- ISSN
1676-7608
- Publication type
Article
- DOI
10.11132/rea.2012.663