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Essays on the microstructure of emerging commodities futures markets

Costa Júnior, Geraldo

Biblioteca Digital de Teses e Dissertações da USP; Universidade de São Paulo; Escola Superior de Agricultura Luiz de Queiroz 2017-09-04

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  • Título:
    Essays on the microstructure of emerging commodities futures markets
  • Autor: Costa Júnior, Geraldo
  • Orientador: Martines Filho, Joao Gomes
  • Assuntos: Commodities; Dados De Alta Frequência; Deaiers; Microestrutura; Commodities; Dealers; High Frequency Data; Microstructure
  • Notas: Tese (Doutorado)
  • Descrição: Commodities futures trading went through unparalleled structural transformation during the first decade of the 2000s, which ultimately resulted in long lasting impacts on the volume and open interest levels as well as on the access to these markets and inclusion of new participants. Benefiting from the new sets of high frequency data made available due to these transformations, this dissertation is composed of three papers that investigate different market microstructure aspects of the commodities futures markets at BM&F-Bovespa. The first paper analyzes the modelling and forecasting of realized volatility in the corn and live cattle markets. For this purpose, the heterogeneous autoregressive model (HAR-RV) proposed by Corsi (2009) was used, as well as its extensions adapted to include jump components (Andersen et al., 2007) and leverage components (Corsi and Reno, 2012). Using measurements to compare both analysis, results show that modelling in-sample realized volatility is best performed if jumps and leverage components are included in the model. Out-of-sample forecasts results for the live cattle market show that there was no statistically significant difference between the models. For the corn markets, difference in the models\' forecast performance was found at the daily horizon only. The second paper delves into the relationship between volatility, volume and bid-ask spread in the corn and live cattle markets. Considering that these are emerging agricultural markets, concentration measures were also included. A three-equation structural model was used to capture the relationship between volatility, volume and bid-ask spread and the estimation was performed using the IV-GMM approach. Findings show that bid-ask spread levels are higher for live cattle markets than it is for corn markets. In addition, bid-ask spread is negatively related to volume and positively related to volatility. The significance and magnitude of the responses depend on the level of liquidity in each market. Further, results point out that concentration impacts corn and live cattle differently. The third paper examines the dynamic relationship between dealers activity and market structure in the live cattle inter-dealer market at BM&F-Bovespa. First, a descriptive analysis of the live cattle inter-dealer market structure is carried out and then follows an investigation of the dynamic of dealers\' activity and its determinants. Results indicate that the live cattle inter-dealer market is not competitive and that dealers\' activity is positively related to market concentration, quoted bid-ask spread, number of active dealers and the dealer\'s traded quantity.
  • DOI: 10.11606/T.11.2018.tde-14032018-123849
  • Editor: Biblioteca Digital de Teses e Dissertações da USP; Universidade de São Paulo; Escola Superior de Agricultura Luiz de Queiroz
  • Data de criação/publicação: 2017-09-04
  • Formato: Adobe PDF
  • Idioma: Inglês
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