Causality and cointegration through brazilian agribusiness stock returns in the brazilian stock exchange, B3
DOI:
https://doi.org/10.55905/oelv21n9-177Keywords:
agribusiness, agroindustry, b3, stock tradingAbstract
This research aimed to verify the existence or not of a long-term relationship between the variation in prices of the main agricultural commodities produced in Brazil and the returns of the shares of the main publicly traded agribusiness companies that make up the Brazilian agribusiness traded on the Brasil, Bolsa, Balcão (B3 S.A). Since the objective of this study is to analyze the relationship between variables using numerical data and specific statistical methods, a descriptive quantitative research was chosen. Based on this methodology, an analysis was carried out, which, based on the results of the cointegration tests, shows a long-term equilibrium relationship between the returns of agribusiness stock and the variations in agricultural commodity prices, with emphasis on ABEV3, BEEF3, and BRFS3 stocks. As for the results of the causality and exogeneity tests, it can be concluded that, in the short term, the variations in agricultural commodity prices have practically no chance of explaining the variations in returns of agribusiness stocks in B3 ABEV3, BEEF3, BRFS3, MDIA3, and SMTO3.
References
AKAIKE, H. Information theory and an extension of the maximum likelihood principle. In: Petrov, B.N.; Csaki, F. (Eds). Second International Symposium on Information Theory. Budapest: Akademiai Kiado. p. 267-281, 1973.
BATISTELLA, F. D.; CORRAR, L. J.; BERGMANN, D. R.; AGUIAR, A. B. Stock Returns and Corporate Governance: An Event Study. In: 4th USP Congress on Controller and Accounting, 2004, Proceedings... São Paulo: University of São Paulo, 2004. p. 1-15.
BLACK, A. J.; KLINKOWSKA, O.; MCMILLAN, D. G.; MCMILLAN, F. J. Forecasting stock returns: do commodity prices help?. Journal of Forecasting, v. 33, n. 8, p. 627-639, 2014.
BRAZILIAN MERCANTILE & FUTURES EXCHANGE – BM&FBOVESPA. Listed Agribusiness Companies. 2017. Available at: http://www.bmfbovespa.com.br/pt_br/produtos/listados-a-vista-e-derivativos/renda-variavel/agroindustries-listed.htm. Accessed on July 30, 2017.
BRAZILIAN MERCANTILE & FUTURES EXCHANGE – BM&FBOVESPA. Historical Quotations. 2017. Available at: http://www.bmfbovespa.com.br/pt_br/servicos/market-data/historico/mercado-a-vista/cotacoes-historicas/. Accessed on September 20, 2017.
BRAZILIAN MERCANTILE & FUTURES EXCHANGE – BM&FBOVESPA. Brazil100 Index (IBrX100). 2017. Available at: http://www.bmfbovespa.com.br/pt_br/produtos/indices/indices-amplos/indice-brasil-100-ibrx-100-composicao-da-carteira.htm. Accessed on September 20, 2017.
BRAZIL. MINISTRY OF AGRICULTURE, LIVESTOCK, AND SUPPLY - MAPA. Collection of Publications. 2016. Available at: http://www.agricultura.gov.br/publicacoes/colecao-publicacoes. Accessed on May 14, 2017.
BRAZIL STOCK EXCHANGE - B3 S.A. - B3. Products authorized for trading in the stock exchange and/or organized over-the-counter markets of the BM&FBovespa segment. 2018. Available at: http://www.b3.com.br/pt_br/produtos-autorizados-para-negociacao/. Accessed on July 1, 2018.
CENTER FOR ADVANCED STUDIES IN APPLIED ECONOMICS - ESALQ/USP- CEPEA. (2017). GDP of Brazilian agribusiness. 2016. Available at: http://www.cepea.esalq.usp.br/upload/kceditor/files/RelatorioPIBAGROBrasil_DEZEMBRO.pdf. Accessed on May 13, 2017.
CENTER FOR ADVANCED STUDIES IN APPLIED ECONOMICS - ESALQ/USP- CEPEA. (2017). Website database query 2017. Available at: https://www.cepea.esalq.usp.br/br/consultas-ao-banco-de-dados-do-site.aspx. Accessed on October 20, 2017.
CHEW, L. Derivatives risk management: the use and abuse of leverage. Rio de Janeiro: Qualitymark, 1999.
CRETI, A.; JOËTS, M.; MIGNON, V. On the links between stock and commodity markets' volatility. Energy Economics, v. 37, p. 16-28, may. 2013.
D’ANTONI, J.M.; DEAN DETRE, J.. Are agribusiness stocks an investor safe haven?. Agricultural Finance Review, v. 74, n. 4, p. 522-538, jun. 2014.
DECLERCK, F. Do Agricultural commodity firm stock price and agricultural commodity price move together?. International Journal on Food System Dynamics, v. 5, n. 3, p. 120-129, jul./sep. 2014.
DI AGUSTINI, C. A. Gestão Financeira nos micro e pequenos empreendimentos no contexto do agronegócio: uma abordagem de desenvolvimento sustentável. Revista da Micro e Pequena Empresa, v. 3, n. 2, p. 4-24, mai./ago. 2009.
DICKEY, D.A.; FULLER, W.A. Distribution of the estimator for auto-regressive time series with a unit root. Journal of the American Statistical Association, v.74, p.427-431, jun. 1979.
DORFMAN, J. H.; PARK, M. D. Estimating the risk-return tradeoff in agribusiness stocks: linkages with the broader stock market. American Journal of Agricultural Economics, v. 93, n. 2, p. 426-433, jan. 2011.
FAMA, E. F.; FRENCH, K. R. The cross‐section of expected stock returns. The Journal of Finance, v. 47, n. 2, p. 427-465, may./jun. 1992.
FERRAZ, J. C.; KUPFER, D.; HAGUENAUER, L. Made in Brazil: desafios competitivos para a indústria. Rio de janeiro: Campus, p. 386, 1995.
GIRARDI, D. Financialization of food - modelling the time-varying relation between agricultural prices and stock market dynamics. International Review of Applied Economics, v. 29, n. 4, p. 482-505, mar. 2015.
GRANGER, C.W. Investigating causal relations by econometric models and cross spectral methods. Econometrica , v.37, n.3, p.424-438, aug. 1969.
HARRIS, R. Using cointegration analysis in econometric modelling. London: Harvester Wheatsheaf , 1995.
HU, C.; XIONG, W. The informational role of commodity futures prices. In: WEYL, E. G.; GLAESER, E. L.; SANTOS, T. (Eds). Apres le deluge: finance and the common good after the crisis. Chicago: University of Chicago Press, 2013. Disponível em: , Acesso em: 10 abr. 2017.
ILDIRAR, M.; ISCAN, E.. The interaction between stock prices and commodity prices: eastern Europe and central Asia case. 2016. International Journal of Economics and Finance Studies, v. 8, n.2, p. 94-106, 2016.
JOHANSEN, S. Statistical analysis of cointegration vectors. Journal of economic dynamics and control, v. 12, n. 2-3, p. 231-254, jun./sep. 1988.
LILLYANA, C.; NAPITUPULU, T. A.. Impact of price and export quantity on stock price: a case of agri-business in Indonesia. Advanced Science Letters, v. 21, n. 4, p. 789-791, apr. 2015.
LOMBARDI, M. J.; RAVAZZOLO, F. On the correlation between commodity and equity returns: implications for portfolio allocation. Journal of Commodity Markets, v. 2, n. 1, p. 45-57, jun. 2016.
MACKINNON, J. G.; HAUG, A. A.; MICHELIS, L. Numerical distribution functions of likelihood ratio tests for cointegration. Journal of Applied Econometrics, v. 14, n. 5, p. 563-577, sep./oct. 1999.
MENDONÇA NETO, J.; BRUNI, A. L. Risco, retorno e equilíbrio: existe associação entre indicadores contábeis e os retornos das ações negociadas na Bovespa?. Gestão & Planejamento, v. 1, n. 10, p. 78-90, jul./dez. 2004.
MENSI, W.; BELJID, M.; BOUBAKER, A.; MANAGI, SHUNSUKE. Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold. Economic Modelling, v. 32, p. 15-22, may. 2013.
NUNES, M.; COSTA JR, N.; MEURER, R. A relação entre o mercado de ações e as variáveis macroeconômicas: uma análise econométrica para o Brasil. Revista Brasileira de Economia, v. 59, n. 4, p. 585- 607, 2005SCHWARZ, G. et al. Estimating the dimension of a model. The annals of statistics, v. 6, n. 2, p. 461-464, mar./apr. 1978.
SIMS, C. Macroeconomics and Reality. Econometrica, v. 48, n. 1, p. 1-48, jan. 1980.
TZENG, K.; SHIEH, J. C. P. The transmission from equity markets to commodity markets in crises periods. Applied Economics, v. 48, n. 48, p. 4666-4689, apr. 2016.
UNITED NATIONS CONFERENCE ON TRADE AND DEVELOPMENT- UNCTAD. The State of Commodity Dependence. Genebra: Prensa UNCTAD, 2016.
VARTARIAN, P. R. Impactos do índice Dow Jones, commodities e câmbio sobre o Ibovespa: uma análise do efeito contágio. Revista de Administração Contemporânea, v. 16, n. 4, p. 608-627, jul./ago. 2012.
WALD, A. Tests of statistical hypotheses concerning several parameters when the number of observations is large. Transactions of the American Mathematical Society, v. 54, n. 3, p. 426-482, nov. 1943.
WILSON, C. A.; FEATHERSTONE, A. M.; KASTENS, T. L. Threshold effects in food and agribusiness stock price markets. In: 2001 Annual meeting AAEA, Chicago, 2001. Procedings… Chicago: American Agricultural Economics Association, 2001. p. 1-24.
ZAPATA, H. O.; DETRE, J. D.; HANABUCHI, T. Historical performance of commodity and stock markets. Journal of agricultural and applied Economics, v. 44, n. 03, p. 339-357, aug. 2012.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2023 OBSERVATÓRIO DE LA ECONOMÍA LATINOAMERICANA
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
