{"title":"Do different speculation strategies cause distinct impacts on the volatility of the live cattle futures in Brazil?","authors":"Augusto Seabra Santos, Alexandre Nunes Almeida","doi":"10.1016/j.jcomm.2025.100458","DOIUrl":null,"url":null,"abstract":"<div><div>This study explores the relationship between speculators and the volatility of live cattle futures in Brazil, focusing on two distinct categories of speculation: day traders (and scalpers) and institutional investors. Analyzing the nearest and October contracts from 2006 to 2019, the research employs the ARIMA-GARCH methodology to estimate volatilities. Additional analyses are conducted to estimate the expected and unexpected effects of speculators on the previously determined volatility levels. Our findings indicate that day trader speculators heighten the volatility of contracts nearing expiration, primarily due to their unexpected actions and limited market information usage. They tend to buy high and sell low. In contrast, institutional investors, with access to more comprehensive information, have a moderate influence on volatility, capable of strategically maneuvering market distortions. The accuracy of the conclusions is strengthened by robustness and placebo tests.</div></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"37 ","pages":"Article 100458"},"PeriodicalIF":3.7000,"publicationDate":"2025-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Commodity Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2405851325000029","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
This study explores the relationship between speculators and the volatility of live cattle futures in Brazil, focusing on two distinct categories of speculation: day traders (and scalpers) and institutional investors. Analyzing the nearest and October contracts from 2006 to 2019, the research employs the ARIMA-GARCH methodology to estimate volatilities. Additional analyses are conducted to estimate the expected and unexpected effects of speculators on the previously determined volatility levels. Our findings indicate that day trader speculators heighten the volatility of contracts nearing expiration, primarily due to their unexpected actions and limited market information usage. They tend to buy high and sell low. In contrast, institutional investors, with access to more comprehensive information, have a moderate influence on volatility, capable of strategically maneuvering market distortions. The accuracy of the conclusions is strengthened by robustness and placebo tests.
期刊介绍：
The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.
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