Fatores condicionantes do volume de contratos futuros de soja negociados na Bolsa de Mercadorias & Futuros (BM & FBOVESPA)

Abstract

The future market is an indispensable tool for protection and risk management, but it is still little explored in Brazilian Mercantile & Futures Exchange (BM&FBOVESPA) concerning the soybean futures contract. This can be noted through the visualization of the trading volume, which is an essential measurement of market liquidity. Thus, this work seeks to identify and evaluate the conditioning factors of the volume of soybean futures contract traded at BM&FBOVESPA. The methodology embodied an analysis concerning the time series with Granger causality test, co-integration and vector error correction model (VEC) in a period from 2003 to 2009, with data encompassing weekly observations of the trading volume, open contracts and soybean’s futures price at BM&FBOVESPA and at Chicago Board of Trade (CBOT). Conclusions: the price and open contract series at BM&FBOVESPA as well as at CBOT are considered important conditionings of the trading volume of BM&FBOVESPA, since its lag values better the forecasting of the volume, because they show synchrony with the volume in the short and long term, and also because they are factors that cause this volume, verified by the Granger causality test VECm and variance decomposition.