Data · dataset · 2018
LIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETS
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ABSTRACT Objective: The present study estimates the liquidity cost of the corn future contract traded on B3 (formerly BM&FBovespa) and compare it to the CME corn future contract, through five implicit bid-ask spread measures.
Description
Originality/value: The market microstructure approach, with its focus on high frequency data, reveals characteristics of the emerging agricultural markets (also known as thin markets), which were not evident in studies with daily frequency data.
Design/methodology/approach: To analyze the performance of five cost estimators, the data used in our analysis consists of intraday series of future contracts of B3 and CME from September 1, 2015, to August 30, 2016. The methodology adopted includes these estimators: Roll model (1984); Model of Thompson & Waller (1987) model of Choi, Salandro & Shastri (1988);Model of Chu, Ding & Pyun (1996) and the model of Wang, Yau & Baptiste (1997).
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Findings: The liquidity cost is lower in CME’s future corn market than in B3, and the estimated cost of liquidity in CME’s future corn market is 2 to 3 cents (in R$/60-kgbag) while at BM & F the cost is 6 to 16 cents (in R$/60-kgbag).
Links
Where it is published
- Repository landing page scielo.figshare.com/articles/dataset/LIQUIDITY_COSTS_IN_EMERGING_CORN_FUTURES_MARK… ↗
landing page · from DataCite
- DOI doi.org/10.6084/m9.figshare.5791866 ↗
DOI / persistent id · from DataCite
Documentation and papers
- Creative Commons Attribution 4.0 International creativecommons.org/licenses/by/4.0/legalcode ↗
license · from DataCite
- doi.org /10.1590/1678-69712017/administracao.v18n6p201-223 ↗
IsSupplementTo 10.1590/1678-69712017/administracao.v18n6p201-223
publication · from DataCite
Catalogue records · 2
- DataCite API api.datacite.org/dois/10.6084/m9.figshare.5791866 ↗
metadata API · from DataCite
- DataCite Commons commons.datacite.org/doi.org/10.6084/m9.figshare.5791866 ↗
catalogue entry · from DataCite
Topics
- Stated by source
- Economics and business
Related
- Inverse of same asLIQUIDITY COSTS IN EMERGING CORN FUTURES MARKETS
Provenance · 1 source records, 9 field assertions
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|---|---|---|---|
| DataCite | 10.6084/m9.figshare.5791866 | 10 d ago | JSON v1 |
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