新兴商品交易所的集中与流动性成本

IF 1.2 4区经济学 Q3 AGRICULTURAL ECONOMICS & POLICY

Journal of Agricultural and Resource Economics Pub Date : 2018-09-01 DOI:10.22004/ag.econ.276504

Geraldo Costa, Andres A. Trujillo‐Barrera, J. Pennings

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引用次数: 2

摘要

我们分析了巴西农业期货市场的流动性成本、交易量和波动性之间的关系，以及市场集中度的作用。我们使用2014年3月至2016年2月Bolsa、Brasil、Balcao玉米和活牛合同的数据估计了一个结构三方程IV–GMM模型。结果显示，流动性成本与交易量呈负相关，流动性费用与波动性呈正相关。市场集中对玉米和活牛的影响不同。集中有助于减少活牛的数量，降低玉米的流动性成本。我们的研究结果揭示了新兴市场的微观结构。

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Concentration and Liquidity Costs in Emerging Commodity Exchanges

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.

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来源期刊

Journal of Agricultural and Resource Economics 社会科学-农业经济与政策

CiteScore

2.30

自引率

7.10%

发文量

审稿时长

>36 weeks

期刊介绍： The mission of the Journal of Agricultural and Resource Economics is to publish creative and scholarly economic studies in agriculture, natural resources, and related areas. Manuscripts dealing with the economics of food and agriculture, natural resources and the environment, human resources, and rural development issues are especially encouraged. The Journal provides a forum for topics of interest to those performing economic research as well as to those involved with economic policy and education. Submission of comments on articles previously published in the Journal is welcomed.