Custo de liquidez do contrato futuro de boi gordo da BM & FBOVESPA

Abstract

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Liquidity Costs in Emerging Corn Futures Markets

“…Regarding Brazilian markets, Marquezin (2013) analyzed liquidity costs related to the soybean futures markets at B3 from 2010 to 2013. The results indicated that the liquidity costs found in the soybean futures market at B3 were still comparable to other soybean futures markets around the world.…”

“…The results indicated that the liquidity costs found in the soybean futures market at B3 were still comparable to other soybean futures markets around the world. Marquezin & Mattos (2014) analyzed the live cattle futures contracts at B3 and concluded that the maturity day exerted influence on the liquidity cost of these contracts.…”

“…Another goal for this paper is to compare the performance of five bid-ask spread estimation models in markets with different levels of liquidity. There is a considerable number of papers exploring the analysis of liquidity costs for Brazilian stock and equities markets, but studies focusing on agricultural futures markets are still scarce (Marquezin & Mattos, 2014). In addition, this paper innovates in measuring the performance of different the bid-ask spread estimation models in the context of mature (CBOT) and emerging markets (B3).…”

Essays on the microstructure of emerging commodities futures markets

“…Liu et al (2016) analyzed the behavior of liquidity costs in the copper, aluminum, gold and rubber futures markets at the Shanghai Futures Exchange and found the estimated BAS to be negatively related to trading volume and skewness, but positively related to volatility and kurtosis. In Brazil, Marquezin (2013) analyzed liquidity costs for the soybeans futures market at BM&F-Bovespa and found them to be relatively high.…”

“…Marquezin and De Mattos (2014) estimated the liquidity costs of the live cattle futures market at BM&F-Bovespa using four different estimators. They found relatively low liquidity costs and in addition, a negative relation between volume and liquidity costs was found, as expected.…”