Mercado Futuro De Soja Na Bmfe Cbot: Uma Análise No Período De 2005 A 2007
O presente trabalho busca calcular a base e o risco de base, razão ótima e eficiência do hedge da soja brasileira comercializada através dos contratos da Bolsa de Mercadorias e Futuros (BMF) e contrato de soja Latino-Americana da Chicago Board of Trade (SA-CBOT) e contrato de soja da Chicago Board of Trade (CBOT). O valor médio da base e o risco de base foram calculados na semana de vencimento dos 50 contratos considerados no periodo entre janeiro de 2005 a julho de 2007. O método adotado no cálculo da base é está em acordo com Hull (2005); o risco de base e a efetividade de hedge são propostos por Silveira (2002); Myers; Thompson (1989) estabelecem a motodologia para o cálculo da razão ótima. Do procedimento adotado neste, foram possivel observar os seguintes resultados: i) os menores valores médios da base foram em Paranaguá (em todas as bolsas). ii) apesar de possuir os menores valores médios de base, a CBOT apresentou maior risco de base que a BMF. Tanto o Mercado Futuro de soja da BMF quanto o mercado da CBOT, mostraram-se eficientes. Porém, não foi possível afirmar com precisão que o mercado futuro SA-CBOT é eficiente. A razão de hedge mostrou-se elevada, variando entre 87,20% - 64,77% (para BMF). A razão de hegde da soja em Illinois apresentou-se consideravelmente maior que as demais quando comercializada na CBOT. Conclui-se assim, que sojicultores brasileiros possuem, de maneira geral, melhor instrumento de proteção ao risco de preço quando comercializam na BMF.---------------------------------------------This dissertation analyses the hedge soybeans operations by using BMF and CBOT`s contracts, and considering Paranagua (PR), Sorriso (MT), Barreiras (BA) and Cascavel (PR). Initially, it was calculated the basis risk from the hedge operations in the ending week of each contract. It was considered transactions between BMF, CBOT and SA-CBOT (South America Soybeans Contract). It was also calculated the optimal hedge ratio by Myers; Thompson (1989) methodology. During January 2005 and July 2007, these exchanges had commercialized 50 contracts. this paper reaches the following results: i) the lower basis’ average was in Paranagua (considering all stock exchanges); ii) CBOT had smaller basis’ average but greater basis’ risk then BMF. On the second step of this analysis, both BMF and CBOT were considered efficient. However, the same result was not observed on SA-CBOT, which wasn’t possible to precise about its efficiency. The optimal hedge ratio (OHR) was high to BMF (87.20% - 64.77%). The OHR to Illinois was the greatest, 93.41% when commercialized with CBOT. This number is consistent with Dorfman; Sanders (2006). However, CBOT presents lower OHR whenever we consider the Brazilians places in this study (55.88% - 35.7%). We conclude that Brazilians soybeans’ farmers which want to protect against price in future market have a better tool by commercializing with BMF that CBOT or SA-CBOT.
|Date of creation:||Jul 2008|
|Contact details of provider:|| Web page: http://www.sober.org.br/|
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ags:sbrfsr:108970. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.