Operational Impacts of the Changes in the Corn Futures Contract of the BM&F Bovespa Regarding Risk Mitigation
PDF (Português (Brasil))

Keywords

Cash settlement. Futures contracts. Corn. BM&F-Bovespa.

How to Cite

Souza, W. A. da R. de, Guerra, F. B., Zanin, V., & Martines Filho, J. G. (2012). Operational Impacts of the Changes in the Corn Futures Contract of the BM&F Bovespa Regarding Risk Mitigation. Review of Business Management, 14(45), 480–493. https://doi.org/10.7819/rbgn.v14i45.1064

Abstract

The corn market plays an important role in the national agricultural scenario, given its relevance in the meat industry, where grain marketing strategies are outstanding, especially those related to price risk mitigation using futures contracts. This article aims to identify and interpret the effects of the changes of the corn futures contract traded at the BM&F-Bovespa, which shifted in September 2008 from physical delivery to cash settlement, on the grain futures market performance. We evaluated contract liquidity, volatility of future and physical corn prices, and base convergence. The possible effects of the contract amendment include the increase in liquidity of the corn futures contract, reduction of the price volatility and improved base convergence. The results are in line with the theory and highlight the positive impact of implementing cash settlement for corn futures.

Key words: Cash settlement. Futures contracts. Corn. BM&F-Bovespa.

https://doi.org/10.7819/rbgn.v14i45.1064
PDF (Português (Brasil))

If a paper is approved for publication, its copyright has to be transferred by the author(s) to the Review of Business Management – RBGN.

Accordingly, authors are REQUIRED to send RBGN a duly completed and signed Copyright Transfer Form. Please refer to the following template: [Copyright Transfer]

The conditions set out by the Copyright Transfer Form state that the Review of Business Management – RBGN owns, free of charge and permanently, the copyright of the papers it publishes. Although the authors are required to sign the Copyright Transfer Form, RBGN allows authors to hold and use their own copyright without restrictions.

The texts published by RBGN are the sole responsibility of their authors.

The review has adopted the CC-BY Creative Commons Attribution 4.0 allowing redistribution and reuse of papers on condition that the authorship is properly credited.