Herding behavior of speculators and hedgers in future market of commodities
Resumo
Este artigo verifica a presença do comportamento de efeito manada de especuladores e hedgers no mercado future de commodities. Contratos futuros de cinco commodities (algodão, café, trigo, soja e açúcar) dos EUA e retornos do mercado à vista do Brasil são considerados.
METODOLOGIA
Este artigo utiliza o cross sectional absolute deviation (CSAD) de Chang et al. (2000) para a estimação do efeito manada e aplica a regressão quantílica condicional de Koenker (2005).
RESULTADOS E CONCLUSÕES
Como resultado, verifica-se a presença de efeito manada considerando somente estratégias de razão de hedge. Por outro lado, este artigo não encontra o comportamento de manada quando somente especuladores são observados.
IMPLICAÇÕES PRÁTICAS
Aspectos do mercado futuro, tais como a influência de instituições financeiras em long hedgers e estratégias de feedback positivo similares de short hedgers, denotam a importância de considerar a análise de manada para estratégias de hedge nesse mercado.
PALAVRAS-CHAVE
Comportamento de Manada, Especuladores e Hedgers, Mercado Futuro
OBJECTIVE
This paper verifies the presence of herding behavior of speculators and hedgers in commodities future market. U.S. Future contracts of five commodities (Cotton, Coffee, Wheat, Soybean and Sugar) and Bra-zilian spot market returns are considered.
METHODOLOGY
This paper uses the cross sectional absolute deviation (CSAD) of Chang et al. (2000) for herding effect estimator and applies the conditional quantile regression of Koenker (2005).
RESULTS AND CONCLUSIONS
As results, it verifies the herding presence considering only hedge ratio strategies in future market. On the other hand, this paper does not find herding behavior when only the speculators are observed.
PRACTICAL IMPLICATIONS
Aspects of future market, such as the influence of the financial institutions in long hedgers and similar positive feedback strategies of short hedgers, denote the importance of considering herding analyzes for hedge strategies in this market.
KEYWORDS
Herding Behavior, Speculators and Hedgers, Future Market
Referências
Adrangi, B. and Chatrath, A., 2008. Do Commodity Traders Herd? The Finan-cial Review 43, 461-476.
Alemanni, B. Ornelas, J.R.H. (2006). Herding Behavior by Equity Foreign In-vestors on Emerging Markets. Working Papers Series, 125,Central Bank of Brazil, Research Department.
Bhaduri, S. N. & Mahapatra, S. D. (2013). Applying an alternative test of herding behavior: A case study of the Indian stock market Journal of Asian Economics, 25, pp. 43–52.
Bikhchandani, S., & Sharma., S. (2001). Herd Behaviour in Financial Mar-kets. IMF Staff Papers, 47(3): 279–310.
Blasco, N., & Ferreuela, S. (2008).Testing international herding in familiar as-sets: an experiment in an international context. The Journal of Behavior-al Finance, 9, pp. 72–84.
Caporale, G.M., Economou, F., & Philippas, N. (2008). Herding behaviour in extreme market conditions: the case of the Athens Stock Exchange. Eco-nomics Bulletin, 7, pp. 1–13.
Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd be-havior in equity markets: an international perspective. Journal of Bank-ing and Finance, 24, 1651–1679.
Chari, V.V. & Kehoe, P.J. 2004, "Financial crises as herds: overturning the critiques", Journal of Economic Theory, vol. 119, no. 1, pp. 128-150.
Chiang, T. C., Li, J., & Tan, L. (2010). Empirical investigation of herding be-havior in Chinese stock markets: evidence from quantile regression anal-ysis. Global Finance Journal, 21, 111–124.
Chiang,T.C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking and Finance, 34, pp. 1911–1921.
Christie, W. & Huang., R. (1995). Following the pied pier: do individual re-turns herd around the market? Financial Analysts Journal, 51 (4), pp. 31–37.
Chunrong, A., Chatrah, A., Song, F., 2006. On The Comovement of Commodi-ty Prices. American Journal of Agricultural Economics, 88 (3), 574–588.
Cruz, Wallacy L. V.; Reis, Márcio C.; Pinho, Frank M. (2013). Investimento em Contratos Futuros de Commodities: uma análise quanto ao risco e retor-no. Revista de Finanças Aplicadas, pp.1-21.
Demirer, R. Lee, H. Lien, D. Commodity Financialization and Herd Behavior in Commodity Futures Markets. Working Paper, 2013. http://business.utsa.edu/wps/fin/0046FIN-202-2013.pdf
Demirer, R., & Kutan, A. M. (2006). Does herding behavior ex pist in Chinese stock markets? Journal of International Financial Markets, Institutions and Money, 16, 123–142.
Demirer, R., Kutan, A.M., & Chen, C. (2010). Do investors herd in emerging stock markets? Evidence from the Taiwanese market. Journal of Eco-nomic Behavior and Organization, 76, pp. 283–295.
Devenow, A., Welc, I (1996). Rational herding in financial economics. Europe-an Economic Review 40, pp. 603-615.
Engle, R. F.; Granger, C. W. J. Cointegration and error correction: representa-tion, estimation and testing. Econometrica, Chicago, v. 55, n. 2, 1987.
Fu, T.; Lin, M. (2010). Herding in China equity market. International journal of economics and finance, 2(2), pp.148-156.
Gabaix, X., Gopikerishman, P., Plerou, V., Stanley, H. E., 2006. Institutional investors and stock market volatility. Quarterly Journal of Economics 121 (2), 461-504.
Gębka, B., & Wohar, M. E. (2013). International herding: Does it differ across sectors? Journal of International Financial Markets, Institutions and Money, Volume 23, pp. 55–84.
Gleason, K. C., Lee, C., Mathur, I., 2003. Herding behavior in European fu-tures markets. Finance Letters 1, 5-8. Goldstein, I.; Li, Y.; Yang, L. (2014). Speculation and Hedging in Seg-mented Markets. The Review of Financial Studies, v. 27, n. 3, p. 881-922.
IMF, 2007. Do Market Risk Management Techniques Amplify Systemic Risk? Global Financial Stability Report October, pp. 52–75.
Koenker, R. W. (2005). Quantile regression. Cambridge University Press.
Kremer S. & Nautz D. (2013). Causes and consequences of short-term institu-tional herding. Journal of Banking and Finance, 37(5), pp. 1676-1686.
Kutchukian, E. Kutchukian, L.K.O. Heterogeneidade no efeito manada de co-tistas de fundos de investimento no Brasil. III CONGRESSO BRASILEIRO DE ENGENHARIA DE PRODUÇÃO. Anais...: III CONGRESSO BRASILEIRO DE ENGENHARIA DE PRODUÇÃO. Ponta Grossa, dez. 2013. 12p.
Long, J. B., Shleifer, A. Summers, L. H. and Waldmann, R. J. (1990). Positive Feedback Investment Strategies and Destabilizing Rational Speculation. The Journal of Finance , Vol. 45, No. 2, pp. 379-395
Maluf, L. A. (2010). O que Influencia a Mente do Investidor ao Tomar suas Decisões de Investimento. Revista de Finanças Aplicadas, pp. 1-17.
Pindyck, R.S. and J.J. Rotemberg, 1990. The excess co-movement of commod-ity prices, Economic Journal, 100, 1173–1189.
Steen, M., Gjolberg, O. 2013. Are commodity markets characterized by herd behaviour? Applied Economics 23, 79–90. Swank, O.; Visser, B. (2008).The consequences of endogenizing infor-mation for the performance of a sequential decision procedure. Journal of Economic Behavior and Organization, 2008, Vol.65(3), pp.667-681
Tan, L., Chiang, T.C., Mason, J.R., & Nelling, E. (2008). Herding behavior in Chinese stock markets: an examination of A and B shares Pacific-Basin Finance Journal, 16, pp. 61–77.
Wang, C. (2003). The behavior and performance of major types of futures traders. Journal of Futures Markets, Vol.23(1), pp.1-31.
Yao, J. Ma, C. & He, W.P. (2013). Investor herding behaviour of Chinese stock market. International Review of Economics & Finance.
Yung,K., Li,Y. (2009) Implications of futures trading volume: Hedgers versus speculators. Journal of Asset Management,10, 318–337.
Zhou, J. & Anderson, R. I. (2013). An Empirical Investigation of Herding Be-havior in the U.S. REIT Market. J Real Estate Finan Econ, 47, pp. 83–108.
Apontamentos
- Não há apontamentos.
Este trabalho está licenciado sob uma Licença Creative Commons Attribution 3.0 .
_______________
Revista de Finanças Aplicadas
ISSN: 2176-8854
Contador Estatístico
Indexadores e diretórios
Adicionais
Gale Cengage Learning
Latindex - Sistema Regional de Información en Línea para Revistas Científicas de América Latina, el Caribe, España y Portugal
Livre - Revistas de Livre Acesso
Sumários - Sumários de Revistas Brasileiras
PKP - Public Knowledge Project