The estimation of the impact of macroeconomic announcements in the Brazilian futures markets is used to uncover the relationship between macroeconomic fundamentals and asset prices. Using intraday data from October 2008 ...

Purpose: The purpose of this paper is to assess the informational efficiency of Arabica (other milds) and Robusta coffee futures markets in terms of predicting future coffee spot prices. Design/methodology/approach: Futures ...

This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick ...

Purpose - This paper investigates the efficiency of the futures market for Brazilian live cattle to predict prices in the spot market of Argentinian steers. The lack of derivatives related to the beef market in the futures ...

The study applies the futures markets trade, for the market demands of the production activity of the feedlot beef cattle. Presenting the aim of identifying placement strategies in futures contracts, that articulate a ...

This paper examines the level of interdependence and volatility transmission in global agricultural futures markets. We follow a multivariate GARCH approach to explore the dynamics and cross-dynamics of volatility across ...

The on-going debate over the influence of investor demand on spot commodity prices largely attempts to assess this influence by measuring the growth in investor demand in recent years. Given the serious data problems that ...