Abstract
We analyze the relationships among liquidity costs, volume, and volatility in the Brazilian agricultural futures market, along with the role of market concentration. We estimate a structural three-equation IV-GMM model using data from Bolsa, Brasil, Balcao corn and live cattle contracts from March 2014 to February 2016. Results show a negative association between liquidity costs and volume and a positive association between liquidity costs and volatility. Market concentration impacts corn and live cattle differently. Concentration contributes to volume reduction for live cattle and to liquidity costs reduction for corn. Our findings shed light on the microstructure of emerging markets.
| Original language | English |
|---|---|
| Pages (from-to) | 441-456 |
| Number of pages | 16 |
| Journal | Journal of Agricultural and Resource Economics |
| Volume | 43 |
| Issue number | 3 |
| Publication status | Published - Sep 2018 |
Keywords
- bid-ask spread
- volatility
- volume
- BID-ASK SPREADS
- SEQUENTIAL INFORMATION ARRIVAL
- FUTURES MARKETS
- WHEAT FUTURES
- FRAGMENTATION
- VARIANCE
- VOLUME
- MODEL
- PERFORMANCE
- COMPETITION