Spectral Analysis and Filtering Rules Usage in Trades with the Brazilian Future Soybean Contract

Authors

  • Waldemar Antonio da Rocha de Souza Universidade Federal do Amazonas-UFAM Faculdade de Estudos Sociais - FES Departamento de Administração - DA
  • Manoel Martins do Carmo Filho Universidade Federal do Amazonas-UFAM Faculdade de Estudos Sociais - FES Departamento de Contabilidade - DECON
  • João Gomes Martines-Filho UNIVERSIDADE DE SÃO PAULO ESCOLA SUPERIOR DE AGRICULTURA LUIZ DE QUEIROZ USP ESALQ
  • Pedro Valentim Marques UNIVERSIDADE DE SÃO PAULO ESCOLA SUPERIOR DE AGRICULTURA LUIZ DE QUEIROZ USP ESALQ

Keywords:

Análise espectral, Regras de filtragem, Mercado futuro, Soja, BM&F-BOVESPA

Abstract

The aim was to examine the semi-strong efficient market hypothesis (EMH) in soybean futures contracts in Brazil, traded in BM&F-BOVESPA, applying spectral analysis and filtering rules. The comparative results in the theory indicate different conclusions about the EMH in agricultural commodity futures markets. However the market efficiency seems not confirmed for the Brazilian soybean futures prices. After testing, we rejected the random walk model for the Brazilian soybean futures settlement prices. The evaluation illustrated the contract arbitrage potential, subsequently classified applying filtering rules based on various ranges of the grain percentage futures settlement prices in the exchange. We simulated various operational strategies for buying and selling in the sample period from 2004 to 2010 based on the intervals. Sorting the financial results and percentage of lucrative operations, we identified certain sub-periods with higher incidence of positive gains. The difference between the results may be attributed to the recent commodity prices regime, prevailing in the markets after 2008. Also, the examined potential profitability in the BM&F-BOVESPA soybean future contract market might attract new hedging and speculative operations, raising the trading volume. The increase in business will consolidate the contract as an efficient alternative to mitigate risk and generate profitable operations in the Brazilian agricultural futures market. Additionally, the process of price discovery evaluating the constellation of futures prices of a contract designed with the characteristics of the Brazilian soybean will increase the administrative efficiency of the grain marketing process. The analysis is novel in the Brazilian literature.

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Author Biographies

Waldemar Antonio da Rocha de Souza, Universidade Federal do Amazonas-UFAM Faculdade de Estudos Sociais - FES Departamento de Administração - DA

Doutor em Economia Aplicada pela Universidade de São Paulo - USP/ESALQ (2010), com tese doutoral avaliada CUM LAUDE. Cursou doutorado sandwich na University of Illinois at Urbana-Champaign - UIUC, nos EUA, centro de referência acadêmica mundial em mercados futuros e de opções. Mestre e doutorado parcial em Economia pela Escola de Pós-Graduação em Economia - EPGE/FGV-RJ (1993), avaliada como o melhor departamento acadêmico de Economia da América Latina. Atividades de Pós-doutorado (Pesquisa e Professor-visitante) na USP/ESALQ/Depto. de Economia, Administração e Sociologia (2010/2011). Professor Adjunto, sob o regime de 40 hs, DE, aprovado em concurso público, área de Finanças e vice-coordenador do Mestrado em Contabilidade e Controladoria da UFAM. Pesquisador afiliado do Office for Futures and Options Research - OFOR/UIUC, do Renk Agribusiness Institute, da University of Wisconsin-Madison, nos EUA, e do ESALQ/AGROLAB, na USP/ESALQ. Professor-colaborador da USP/ESALQ, no curso de graduação em Ciências Econômicas - Microeconomia e Teoria dos Jogos, e na disciplina Derivativos Agropecuários, no Programa de Pós-Graduação em Economia Aplicada - PPGEA. Membro do comitê científico da conferência em gestão de risco e comercialização de commodities - CGRCC, da BM&F-BOVESPA. Líder e pesquisador do GEMFOC - GRUPO DE ESTUDO DE MERCADOS FUTUROS E DE OPÇÕES DE COMMODITIES, para estudos de derivativos no Brasil e no exterior, e do CFIN - CONTABILIDADE, FINANÇAS E GOVERNANÇA. Produziu aproximadamente 60 artigos científicos publicados e divulgados em periódicos científicos indexados nacionais e internacionais, congressos, simpósios, capítulos de livros, além de artigos submetidos, obtendo diversos prêmios e distinções acadêmicas. Revisor de revistas científicas nacionais e internacionais. Áreas de interesse em pesquisas: Administração de Risco, Análise de Preços de Commodities, Mercados Futuros e de Opções de Commodities. Associações: THE AMERICAN FINANCE ASSOCIATION (AFA), THE AMERICAN AGRICULTURAL AND APPLIED ECONOMICS ASSOCIATION (AAEA), SOCIEDADE BRASILEIRA DE FINANÇAS (SBFIN) e SOCIEDADE BRASILEIRA DE ECONOMIA E SOCIOLOGIA RURAL (SOBER).

Manoel Martins do Carmo Filho, Universidade Federal do Amazonas-UFAM Faculdade de Estudos Sociais - FES Departamento de Contabilidade - DECON

Professor Adjunto do Departamento de Contabilidade da UFAM.

João Gomes Martines-Filho, UNIVERSIDADE DE SÃO PAULO ESCOLA SUPERIOR DE AGRICULTURA LUIZ DE QUEIROZ USP ESALQ

Professor-Doutor do Departamento de Economia, Administração e Sociologia da USP/ESALQ

Pedro Valentim Marques, UNIVERSIDADE DE SÃO PAULO ESCOLA SUPERIOR DE AGRICULTURA LUIZ DE QUEIROZ USP ESALQ

Professor Titular do Departamento de Economia, Administração e Sociologia da USP/ESALQ

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Published

2013-04-23

Issue

Vol. 14 No. 4 (2013)

Section

Strategic Finances

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